04631oam 22009974 450 991078870060332120230828235759.01-4623-1145-81-4519-9540-71-283-51687-X97866138293201-4519-0962-4(CKB)3360000000443858(EBL)3014325(SSID)ssj0000943289(PQKBManifestationID)11484318(PQKBTitleCode)TC0000943289(PQKBWorkID)10994226(PQKB)10427791(OCoLC)698585511(MiAaPQ)EBC3014325(IMF)WPIEE2006249(EXLCZ)99336000000044385820020129d2006 uf 0engur|n|---|||||txtccrTesting Real Interest Parity in Emerging Markets /Abhisek Banerjee, Manmohan SinghWashington, D.C. :International Monetary Fund,2006.1 online resource (22 p.)IMF Working Papers"November 2006."1-4518-6509-0 Includes bibliographical references (p. 18-20).""Contents""; ""I. INTRODUCTION""; ""II. DATA AND GRAPHICAL ANALYSIS""; ""III. METHODOLOGY""; ""IV. EMPIRICAL RESULTS""; ""V. CONCLUSION AND POLICY ISSUES""; ""References""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.IMF Working Papers; Working Paper ;No. 2006/249Interest ratesDeveloping countriesEconometric modelsGlobalizationDeveloping countriesEconometric modelsMonetary policyDeveloping countriesEconometric modelsBanks and BankingimfFinance: GeneralimfInflationimfInterest Rates: Determination, Term Structure, and EffectsimfPrice LevelimfDeflationimfGeneral Financial Markets: General (includes Measurement and Data)imfFinanceimfMacroeconomicsimfReal interest ratesimfInterest rate parityimfMarket interest ratesimfSecurities marketsimfInterest ratesimfPricesimfCapital marketimfSouth AfricaimfInterest ratesEconometric models.GlobalizationEconometric models.Monetary policyEconometric models.Banks and BankingFinance: GeneralInflationInterest Rates: Determination, Term Structure, and EffectsPrice LevelDeflationGeneral Financial Markets: General (includes Measurement and Data)FinanceMacroeconomicsReal interest ratesInterest rate parityMarket interest ratesSecurities marketsInterest ratesPricesCapital marketBanerjee Abhisek1464152Singh Manmohan1464153International Monetary Fund.Middle East and Central Asia Dept.DcWaIMFBOOK9910788700603321Testing Real Interest Parity in Emerging Markets3673714UNINA