CREFS Working Paper #98-05 Short-Run and Long-Run Relationships between Real Interest Rates in G-7 Countries
نویسندگان
چکیده
In this paper, short-run and long-run relationships between real interest rates in G-7 countries are analyzed. Using the model that follows the dynamic simultaneous equation models of Pesaran (1997) and Hsiao (1997), we find evidences of long-run relationships between the US real interest rate and the other six G-7 countries. However, the estimated parameters do not support the real interest rate parity conditions, not even in the long run. As to the short relationship, the results are mixed.
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