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A common shift in real interest rates across countries

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  • Elias Tzavalis

Abstract

This paper documents common shifts in the behaviour of real interest rates across different countries following the announcement of monetary policy regime changes of US Federal Reserve procedures in October 1979. This evidence suggests that the observed, big fluctuations in real interest rates in the seventies and eighties across countries may be linked to the changes of the US monetary policy. It also emphasizes the international effects of US monetary policy on ex ante real interest rates across countries.

Suggested Citation

  • Elias Tzavalis, 1999. "A common shift in real interest rates across countries," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 365-369.
    • Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:365-369
    DOI: 10.1080/096031099332258
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    Cited by:

    1. Kanas, Angelos, 2008. "On real interest rate dynamics and regime switching," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2089-2098, October.
    2. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
    3. McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 258-273, April.
    4. David G. McMillan, 2004. "Non‐Linear Error Correction: Evidence for UK Interest Rates," Manchester School, University of Manchester, vol. 72(5), pages 626-640, September.

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