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SOME EVIDENCE ON MEAN REVERSION IN EX ANTE REAL INTEREST RATES
Author(s) -
Moosa Imad A.,
Bhatti Razzaque H.
Publication year - 1996
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/j.1467-9485.1996.tb00672.x
Subject(s) - mean reversion , economics , treasury , ex ante , monetary economics , econometrics , empirical evidence , interest rate , interest rate parity , foreign exchange , financial economics , macroeconomics , philosophy , archaeology , epistemology , history
A stract Ex ante real interest rates and their differentials are tested for mean reversion using quarterly data on three‐month treasury bill rates and consumer prices for 12 major industrial countries over the period 1972:l‐1993:3. The results are strongly supportive of mean reversion, particularly when less conventional tests are employed. The conclusion that can be derived from the empirical evidence is that goods, capital and foreign exchange markets have become highly integrated in the countries under consideration.