Does real interest parity hold at longer maturities?

• 成果类型: Article
• 署名作者: Jorion, P
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(95)01384-9
• 发表日期: 1996
• 页码: 105-126
• 关键词: real interest rates; term structure; cost of capital; International finance; interest parity

摘要

This paper investigates the validity of Real Interest Parity (RIP) for long maturities across the US, Britain and Germany. A standard view, commonly referred to as the Fisher hypothesis, is that, over long horizons, movements in expected inflation dominate movements in nominal interest rates, or that real interest rates are equal. Over the 1973-1991 sample period, however, rejections of conditional RIP occur at all horizons, extending from a quarter to five years. The evidence indicates that there appears to be no tendency for expected real interest rates to be equalized over longer maturities.