The Real Interest Rate Parity Hypothesis : An Investigation for Developed and Emerging Markets

AUTOR(ES)
DATA DE PUBLICAÇÃO

2005

RESUMO

"How internationally mobile is the world s supply of capital? Does capital flow among industrial countries to equalise the yield to investors? Alternatively, does the saving that originates in a country remain to be invested there? Or does the truth lie somewhere between these two extremes? The answers to these questions are not only important for understanding the international capital market but are critical for analysing a wide range of issues..." [Feldstein and Horioka (1980), p. 314] The questions stated on the quote above, posed by Feldstein and Horioka (1980), still raise intense debate and resilient disagreement. It is peculiar that the liberalisation of capital and goods markets carried out in the last decades and the increasing speed of capital movement have not sealed the enigma put forward by Feldstein and Horioka (1980) more than twenty years ago. On the contrary, according to Obstfeld and Rogoff (2000, p. 341) this is still "one of the most robust and intractable puzzles in international finance". There are two central questions in this thesis. The first one is at the heart of Feldstein and Horioka (1980) concern: "Is there evidence on the existence of real interest rate differentials in a selected group of emerging and developed economies?" We provide an answer to this question in chapter 2. The second question: "What are the causes that underlie real interest rate differentials?" is the research objective of the next chapters. In brief, we investigate the existence and causes of ex post real interest rate differentials [rid(s) hereafter] in a group of economies. The countries chosen for our tests can be split into two groups. The first one comprises some small open-economies of emerging markets: Argentina, Brazil, Chile, Mexico and Turkey. The second group is composed of the open-economies of developed countries: France, Italy, Spain, the UK and Germany. Finally, we use the US as the reference large economy. The period of the tests broadly corresponds to the interval that spans from the mid 1990s to the beginning of the 2000s, with differences highlighted accordingly in each chapter. Both the period and the choice of the countries will be explained in following chapters, however, we can emphasise that this heterogeneous sample of countries allows inter-group comparisons and the detection of similar patterns between them(...)

ASSUNTO(S)

política monetária real interest rate differentials real interest rate parity uncovered interest rate parity economia internacional taxa de juros taxa de cambio

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