Fin de Siècle real interest parity
نویسنده
چکیده
We evaluate the recent evidence for real interest parity (RIP), focusing on long-term yields. Examining the data on financial instruments of various maturities across the G-7 countries, we find substantial differences in the degree of real interest equalization measured at different horizons. In general, RIP holds better at long horizons than at short. This empirical result is robust to alternative ways of modeling expected inflation rates. Considering the relevance of long-term yields for the investment decisions of firms and investors, our findings imply that the degree of capital mobility among the G-7 economies may be greater than previously thought. © 2001 Elsevier Science B.V. All rights reserved.
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