On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets

11 Pages Posted: 5 Jul 2006

See all articles by Patrick Minford

Patrick Minford

Cardiff University Business School; Centre for Economic Policy Research (CEPR)

David A. Peel

Lancaster University - Management School

Date Written: April 2006

Abstract

The purpose in this letter is first to review briefly the empirical results on the relationship between real interest rates and real exchange rates; this empirical literature provides little support for the hypothesis of Roll that expected real interest rates are equal in general. Our second aim is to discuss the theoretical conditions that have to be met for his hypothesis to hold.

Keywords: Real interest rates, real exchange rates, roll

JEL Classification: C22, C51, F31

Suggested Citation

Minford, Patrick and Peel, David Alan, On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets (April 2006). CEPR Discussion Paper No. 5611. Available at SSRN: https://ssrn.com/abstract=913322

Patrick Minford (Contact Author)

Cardiff University Business School ( email )

Aberconway Building
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+44 29 2087 5728 (Phone)
+44 29 2087 4419 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

David Alan Peel

Lancaster University - Management School ( email )

Bailrigg
Lancaster, LA1 4YX
United Kingdom
+44 (0)1524 593590 (Phone)
+44 (0)1524 594244 (Fax)

HOME PAGE: http://www.lancs.ac.uk/staff/peeld/

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