0

-2

1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

Ex-ante Global Real Interest Rate-G7 countries

-4

-6

1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

-4

1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

Canada: Expected in9lation and Short-term nominal

interest rate

21

16

11

Expected in7lation

Expected in7lation
Short-term nominal interest rate

France: Expected in9lation and Short-term nominal

interest rate

18

16

14

12

10

Short-term nominal interest rate

-3

-4

1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

-1

1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

Germany: Expected in9lation and Short-term

nominal interest rate

13

11

Expected in7lation

Expected in7lation
Short-term nominal interest rate

Italy: Expected in9lation and Short-term nominal

interest rate

26

21

16

11

Short-term nominal interest rate

-5

-3
1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

Japan: Expected in9lation and Short-term nominal

interest rate

25

20

15

10

Expected in7lation

Expected in7lation
Short-term nominal interest rate

UK: Expected in9lation and Short-term nominal

interest rate

27

22

17

12

Short-term nominal interest rate

US: Expected in9lation and Short-term nominal

interest rate
16
14
12
10
8
6
4

1971:03:00
1972:03:00
1973:03:00
1974:03:00
1975:03:00
1976:03:00
1977:03:00
1978:03:00
1979:03:00
1980:03:00
1981:03:00
1982:03:00
1983:03:00
1984:03:00
1985:03:00
1986:03:00
1987:03:00
1988:03:00
1989:03:00
1990:03:00
1991:03:00
1992:03:00
1993:03:00
1994:03:00
1995:03:00
1996:03:00
1997:03:00
1998:03:00
1999:03:00
2000:03:00
2001:03:00
2002:03:00
2003:03:00
2004:03:00
2005:03:00
2006:03:00
2007:03:00
2008:03:00

Expected in7lation

Short-term nominal interest rate

All three countries have long quarterly data for the required series. All data are from
International Financial Statistics (IFS) and OECD statistics, seasonally adjusted
Method for computing the ex ante global real interest rate: Barro and Sala i Martin
(1990).
Short-Terms interest rate: T-bill and money market rates, on the G-7 countries.
Inflation in each country is measured using CPIs.
Expected inflation is forecast using AR(6)s.
Ex-ante real interest rate= Short-term nominal interest rate- Expected inflation
Ex-ante global real interest rate is the weighted average of Ex-ante real interest
rates.
To calculate weights, we use time-varying weights for each country based on its
share of real GDP in the G-7 total.

Source:
Paul R. Bergin and Steven M. Sheffrin Source: The Economic Journal, Vol. 110, No. 463
(Apr., 2000), pp. 535-558