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fin de sie`cle real interest parity - university of
/typeset2:/sco3/jobs1/ELSEVIER/inn/week.13/Pinn113.0011011 Tue Apr 24 15:10:14 2001 Page
Journal of International Financial Markets,
Institutions and Money 000 (2001) 000–000
/locate/econbase
Fin de Sie`cle real interest parity
Eiji Fujii a,*, Menzie Chinn b,1
a Department of Economics, Otaru Uniersity of Commerce, Otaru, Hokkaido 047, Japan
b Department of Economics, Uniersity of California, Santa Cruz, CA 95064, USA
Received 15 January 2000; accepted 9 October 2000
Abstract
We evaluate the recent evidence for real interest parity (RIP), focusing on long-term yields.
Examining the data on financial instruments of various maturities across the G-7 countries,F
we find substantial differences in the degree of real interest equalization measured at different
horizons. In general, RIP holds better at long horizons than at short. This empirical result
is robust to alternative ways of modeling expected inflation rates. Considering the relevance
O
of long-term yields for the investment decisions of firms and investors, our findings imply
that the degree of capital mobility among the G-7 economies may be greater than previously
O
thought. © 2001 Elsevier Science B.V. All rights reserved. R
Keywords: Real interest parity
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