TY  - JOUR
AU  - Fujii,Eiji
AU  - Chinn,Menzie D.
TI  - Fin de Siecle Real Interest Parity
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7880
PY  - 2000
Y2  - September 2000
UR  - http://www.nber.org/papers/w7880
L1  - http://www.nber.org/papers/w7880.pdf
N1  - Author contact info:
Eiji Fujii
School of Economics
Kwansei Gakuin University
JAPAN
Tel: 81-798-547257
E-Mail: efujii@kwansei.ac.jp

Menzie D. Chinn
Dept. of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu
AB  - We evaluate the recent evidence for real interest parity, focusing on long-term yields. Examining the data on financial instruments of various maturities across the G7 countries, we find substantial differences in the degree of real interest equalization measured at different horizons. In general, real interest parity holds better at long horizons than at short. This empirical result is robust to alternative ways of modeling expected inflation rates. Considering the relevance of long-term yields for the investment decisions of firms, our findings imply that the degree of capital mobility among the G-7 economies may be greater than previously thought.
ER  -