DYNAMIC LINKAGES AMONG REAL INTEREST-RATES IN INTERNATIONAL CAPITAL-MARKETS

Short-run and long-run dynamic linkages among weekly real interest rat es for G-10 countries are examined using a variety of time-series test s. These tests give special attention to the time-series properties of nominal interest rates, ex-ante expected rates of inflation and real interest rates. Term structure information is used to recover a theore tically consistent measure of ex-ante expected inflation. In-sample an d out-of-sample Granger causality tests are also examined to evaluate lead/lag relationships among real interest rates. The results provide strong support for well-integrated markets, particularly in the long r un. The results imply leadership roles for the US in international ass et markets. (C) 1998 Elsevier Science Ltd. All rights reserved.