Convergence of Real Capital Market Interest Rates—Evidence from Inflation Indexed Bonds
利用加拿大、法国、英国和美国的通胀指数政府债券数据，研究发现长期事前真实利率完全收敛，表明资本市场一体化，而传统方法测度的利率则不支持这一结论。
This paper investigates the convergence of long‐term ex ante real interest rates (RIRs) obtained from Canadian, French, UK, and U.S. inflation indexed government bonds. In contrast to previous research, our evidence suggests full convergence in the long run and, hence, capital market integration. For the same sample period, global convergence is rejected for RIRs measured in conventional terms. From these results, we conclude that previous tests of the long‐run real interest rate parity might have suffered from weak measurement of real capital market interest rates.