There would just be one global neutral rate, with country risk premia. But in the current world, while capital mobility has increased a lot in recent decades, the vast bulk of the capital of most nations’ citizens is still invested at home, and differences in rates of return seem to persist.
BIS central bankers’ speeches  5  Japan has made substantial improvements in the post-trade infrastructure for Japanese government bonds, which have the largest market volume in Asia. Improvements have been made, for example, in aspects of the payment and settlement system, the legislation governing securities settlement, and the tax system for non-residents.