Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions
实证检验各国实际利率是否相等，结果强烈拒绝实际利率相等的假设，以及无抛补利率平价与事前相对购买力平价的联合假设，表明研究开放经济宏观模型时需考虑国内实际利率与世界利率的差异、远期市场的时变风险溢价或对事前相对购买力平价的偏离。
ABSTRACT This paper conducts empirical tests of the equality of real interest rates across countries. The empirical evidence strongly rejects the hypothesis of real rate equality and the joint hypotheses of uncovered interest parity and ex ante relative PPP, or the unbiasedness of forward rate forecasts and ex ante relative PPP. The evidence suggests that it is worth studying open economy macroeconomic models which allow: 1) domestic real rates to differ from world rates, 2) time varying risk premiums in the forward market, or 3) deviations from ex ante relative PPP.