The article examines how real interest rates in major OECD countries are affected by temporary and permanent shocks to real output. These shocks are called 'nominal' and 'real'. The study shows that nominal shocks from the United States have the biggest impact on real interest rates, causing consistent movements across all countries. In the early 1980s, the rise in real interest rates was mainly due to nominal shocks in all five countries, with real shocks playing a minor role.