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010   $a9786613829320
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035   $a(OCoLC)698585511
035   $a(IMF)WPIEE2006249
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100   $a20070509d2006      uf         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aTesting real interest parity in emerging markets /$f[prepared by] Manmohan Singh and Abhisek Banerjee
205   $a1st ed.
210   $aWashington, D.C. $cInternational Monetary Fund, Middle East and Central Asia Dept.$dc2006
215   $a1 online resource (22 p.)
225 1 $aIMF working paper ;$vWP/06/249
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 paper ;$vWP/06/249.
606   $aInterest rates$zDeveloping countries$xEconometric models
606   $aGlobalization$zDeveloping countries$xEconometric models
606   $aMonetary policy$zDeveloping countries$xEconometric models
615  0$aInterest rates$xEconometric models.
615  0$aGlobalization$xEconometric models.
615  0$aMonetary policy$xEconometric models.
700   $aSingh$b Manmohan$f1964-$01754587
701   $aBanerjee$b Abhisek$01688906
712 02$aInternational Monetary Fund.$bMiddle East and Central Asia Dept.
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910821998103321
996   $aTesting real interest parity in emerging markets$94201072
997   $aUNINA