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Ex ante Real-Zinssätze am Euromarkt
Granziol, Markus | Schelbert, Heidi
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 103 (1983), Iss. 5 : pp. 437–459
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Granziol, Markus
Schelbert, Heidi
Cited By
-
Sind die Realzinsen stationär?
Kirchgässner, Gebhard
Wolters, Jürgen
Credit and Capital Markets – Kredit und Kapital, Vol. 23 (1990), Iss. 4 P.468
https://doi.org/10.3790/ccm.23.4.468 [Citations: 0]
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Abstract
This study analyzes real interest rates in the Euro market for the United States, Canada, the United Kingdom, France, West Germany, the Netherlands, and Switzerland (1970.I to 1981.IV period). The main results are as follows: - First, Fama’s (1975) hypothesis of a constant real ex ante interest rate is tested by autocorrelation and regression methods and rejected for all countries but Switzerland. In addition we report evidence suggesting that the variance bound condition implied by Fama’s hypothesis is violated in several countries (including Switzerland). - Second, a rational expectation version of the Fisher (1930) hypothesis is examined. The real ex ante interest rate is assumed to be variable but unrelated to the inflation process. The model implies a one-to-one Correspondence between nominal interest rates and expected inflation rates which we test using a two-step two-stage least squares estimator. The rational expectation version of the Fisher hypothesis is rejected for France (if tax considerations are neglected), England, West Germany and the Netherlands. - Third, we present evidence suggesting that the ex ante real interest rates of the seven considered countries are not only different at each point of time but that such differences in real ex ante interest rates are also persistent through time