Testing real interest parity in emerging markets /

Testing real interest parity in emerging markets /

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Bibliographic Details
Author / Creator:	Singh, Manmohan, 1964- author.
Imprint:	Washington, D.C. : International Monetary Fund, Middle East and Central Asia Dept., ©2006.
Description:	1 online resource (20 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/06/249 IMF working paper ; WP/06/249.
Subject:	Interest rates -- Developing countries -- Econometric models. Globalization -- Developing countries -- Econometric models. Monetary policy -- Developing countries -- Econometric models. Markets -- Developing countries. Interest rates -- Developing countries. Interest rates -- Econometric models. Monetary policy -- Econometric models. Developing countries -- Economic conditions. Developing countries.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498757

Hidden Bibliographic Details
Other authors / contributors:	Banerjee, Abhisek, author. International Monetary Fund. Middle East and Central Asia Department.
ISBN:	128351687X 9781283516877 9781451909623 1451909624
Digital file characteristics:	text file
Notes:	Includes bibliographical references (pages 18-20). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	The paper finds significant deviations between short-term emerging market real interest rates and world real interest rates primarily due to the inflationary expectations of the local investor base. We test for long-run real interest convergence in emerging markets using a time varying panel unit root test proposed by Pesaran to capture the improved macro-economic fundamentals since early 1990s. We also estimate the speed of convergence in the presence of a shock. The paper suggests that real interest rates in the emerging markets show some convergence in the long run but real interest parity does not hold. Our results also find that the speed of adjustment of real rates to a shock is estimated to differ significantly across the emerging markets. Measured by their half-life, some emerging markets in Asia, E. Europe and S. Africa, where real interest rates are generally low, take much longer to adjust than where real interest rates are generally high (Latin America, Turkey). From a policy perspective, encouraging foreign investors to take direct exposure at the short end of the local debt market could lower the real interest rates in some emerging markets.
Other form:	Print version: Singh, Manmohan, 1964- Testing real interest parity in emerging markets. Washington, D.C. : International Monetary Fund, Middle East and Central Asia Dept., ©2006

Description
Summary:	The paper finds significant deviations between short-term emerging market real interest rates and world real interest rates primarily due to the inflationary expectations of the local investor base. We test for long-run real interest convergence in emerging markets using a time varying panel unit root test proposed by Pesaran to capture the improved macro-economic fundamentals since early 1990s. We also estimate the speed of convergence in the presence of a shock. The paper suggests that real interest rates in the emerging markets show some convergence in the long run but real interest parity does not hold. Our results also find that the speed of adjustment of real rates to a shock is estimated to differ significantly across the emerging markets. Measured by their half-life, some emerging markets in Asia, E.Europe and S.Africa, where real interest rates are generally low, take much longer to adjust than where real interest rates are generally high (Latin America, Turkey). From a policy perspective, encouraging foreign investors to take direct exposure at the short end of the local debt market could lower the real interest rates in some emerging markets.
Physical Description:	1 online resource (20 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references (pages 18-20).
ISBN:	128351687X 9781283516877 9781451909623 1451909624