• C32;
  • E44;
  • F36;
  • G15
  • Treasury inflation-protected securities;
  • real interest parity;
  • uncovered interest parity;
  • ex ante real interest rates;
  • market integration;
  • U.S. dominance

This paper investigates the convergence of long-term ex ante real interest rates (RIRs) obtained from Canadian, French, UK, and U.S. inflation indexed government bonds. In contrast to previous research, our evidence suggests full convergence in the long run and, hence, capital market integration. For the same sample period, global convergence is rejected for RIRs measured in conventional terms. From these results, we conclude that previous tests of the long-run real interest rate parity might have suffered from weak measurement of real capital market interest rates.