LEADER 04631oam 22009974 450 001 9910788700603321 005 20230828235759.0 010 $a1-4623-1145-8 010 $a1-4519-9540-7 010 $a1-283-51687-X 010 $a9786613829320 010 $a1-4519-0962-4 035 $a(CKB)3360000000443858 035 $a(EBL)3014325 035 $a(SSID)ssj0000943289 035 $a(PQKBManifestationID)11484318 035 $a(PQKBTitleCode)TC0000943289 035 $a(PQKBWorkID)10994226 035 $a(PQKB)10427791 035 $a(OCoLC)698585511 035 $a(MiAaPQ)EBC3014325 035 $a(IMF)WPIEE2006249 035 $a(EXLCZ)993360000000443858 100 $a20020129d2006 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aTesting Real Interest Parity in Emerging Markets /$fAbhisek Banerjee, Manmohan Singh 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (22 p.) 225 1 $aIMF Working Papers 300 $a"November 2006." 311 $a1-4518-6509-0 320 $aIncludes bibliographical references (p. 18-20). 327 $a""Contents""; ""I. INTRODUCTION""; ""II. DATA AND GRAPHICAL ANALYSIS""; ""III. METHODOLOGY""; ""IV. EMPIRICAL RESULTS""; ""V. CONCLUSION AND POLICY ISSUES""; ""References"" 330 3 $aThe paper finds significant deviations between short-term emerging market real interest rates and world real interest rates primarily due to the inflationary expectations of the local investor base. We test for long-run real interest convergence in emerging markets using a time varying panel unit root test proposed by Pesaran to capture the improved macro-economic fundamentals since early 1990s. We also estimate the speed of convergence in the presence of a shock. The paper suggests that real interest rates in the emerging markets show some convergence in the long run but real interest parity does not hold. Our results also find that the speed of adjustment of real rates to a shock is estimated to differ significantly across the emerging markets. Measured by their half-life, some emerging markets in Asia, E.Europe and S.Africa, where real interest rates are generally low, take much longer to adjust than where real interest rates are generally high (Latin America, Turkey). From a policy perspective, encouraging foreign investors to take direct exposure at the short end of the local debt market could lower the real interest rates in some emerging markets. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2006/249 606 $aInterest rates$zDeveloping countries$xEconometric models 606 $aGlobalization$zDeveloping countries$xEconometric models 606 $aMonetary policy$zDeveloping countries$xEconometric models 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aInflation$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aPrice Level$2imf 606 $aDeflation$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aFinance$2imf 606 $aMacroeconomics$2imf 606 $aReal interest rates$2imf 606 $aInterest rate parity$2imf 606 $aMarket interest rates$2imf 606 $aSecurities markets$2imf 606 $aInterest rates$2imf 606 $aPrices$2imf 606 $aCapital market$2imf 607 $aSouth Africa$2imf 615 0$aInterest rates$xEconometric models. 615 0$aGlobalization$xEconometric models. 615 0$aMonetary policy$xEconometric models. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aInflation 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aPrice Level 615 7$aDeflation 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aFinance 615 7$aMacroeconomics 615 7$aReal interest rates 615 7$aInterest rate parity 615 7$aMarket interest rates 615 7$aSecurities markets 615 7$aInterest rates 615 7$aPrices 615 7$aCapital market 700 $aBanerjee$b Abhisek$01464152 701 $aSingh$b Manmohan$01464153 712 02$aInternational Monetary Fund.$bMiddle East and Central Asia Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788700603321 996 $aTesting Real Interest Parity in Emerging Markets$93673714 997 $aUNINA