Are real interest rates cointegrated? A study of three OECD countries

Abstract

Real interest rates are influenced by internal economic policies and also by movements of real rates in larger economies. The latter has become more influential as a result of the integration of global financial markets in the 1980s and 1990s. The empirical results of this study show that the US real rate of interest is an important factor in explaining variations of real rates in Britain and the Netherlands but not vice versa.