The behaviour of nominal and real interest rates in the developed countries over the last several decades has been the subject of considerable scrutiny and debate. But in spite of the various controversies surrounding this issue, it is rather strange that most of the empirical literature in this area has been confined to the U.S.A. Our aim in this study is to fill this gap to some extent. However, we would like to add that the aim is not only to extend the coverage to more countries, but also to suggest, what we hope, are better ways of answering the questions to be explored.