Citation

Discussion Paper Details

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

Author(s): Patrick Minford and David Peel

Publication Date: April 2006

Keyword(s): real exchange rates, real interest rates and roll

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Minford, P and Peel, D. 2006. 'On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=5611