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| Author: | Al Awad, M. Goodwin, B. K. |
| Title: | Dynamic linkages among real interest rates in international capital markets. |
| Journal: | Journal of International Money and Finance
1998 : DEC, VOL.17:6, p. 881-907 |
| Index terms: | Capital markets Money markets Interest rates |
| Language: | eng |
| Abstract: | The authors examine short-run and long-run dynamic linkages among weekly real interest rates for G-10 countries using variety of time-series tests with special attention to the time-series proporties of nominal interest rates, ex-ante expected rates of inflation and real interest rates. In-sample and out-of-sample Granger causality tests are also used to evaluate lead/lag relationships among real interest rates. The results provide strong support for well-integrated markets, particularly in the long run. |
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