Abstract
Linear dynamic stochastic processes are derived for the ex ante real interest rates from those followed by the ex post real rates under the identifying assumption of rational expectations. The technique is used to study instantaneous and lagged effects of U.S. ex ante real rates on a number of OECD ex ante real rates. The author finds significant contemporaneous correlations between ex ante real rates. In the long run, however, real rates seem to be insulated.
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