If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

Real interest rate equalization: some empirical evidence from the three major world financial markets

$54.78 plus tax (Refund Policy)

Buy Article:

Abstract:

This article examines the linkage of real interest rates of the three major world financial markets (USA, Japan and the UK) with the use of cointegration methods. Unlike previous works, the investigation uses a trivariate vector autoregressive (VAR) model in which a constant term in the common stochastic trends space is excluded. Based on data generated after the liberalization of Japan's foreign exchange market at the end of 1980 (1981:1–1998:12), the article finds some empirical evidence indicating that the extent of the departure from the long-run real interest rate equalization (RIE) is not very large, although the null hypothesis of the long-run RIE is rejected in most cases.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840210128708

Publication date: November 10, 2002

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more