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 hori
zons, movements in expected inflation dominate movements in nominal in
terest rates, or that real interest rates are equal. Over the 1973-199
1 sample period, however, rejections of conditional RIP occur at all h
orizons, extending from a quarter to five years. The evidence indicate
s that there appears to be no tendency for expected real interest rate
s to be equalized over longer maturities.