LEADER 04850oam 22010934 450 001 9910959023603321 005 20250426110659.0 010 $a9786613829320 010 $a9781462311453 010 $a1462311458 010 $a9781451995404 010 $a1451995407 010 $a9781283516877 010 $a128351687X 010 $a9781451909623 010 $a1451909624 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(IMF)WPIEE2006249 035 $a(MiAaPQ)EBC3014325 035 $a(IMF)WPIEA2006249 035 $aWPIEA2006249 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 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (22 p.) 225 1 $aIMF Working Papers 300 $a"November 2006." 311 08$a9781451865097 311 08$a1451865090 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 $aCapital market$2imf 606 $aDeflation$2imf 606 $aFinance$2imf 606 $aFinance: General$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aInflation$2imf 606 $aInterest rate parity$2imf 606 $aInterest rates$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aMacroeconomics$2imf 606 $aMarket interest rates$2imf 606 $aPrice Level$2imf 606 $aPrices$2imf 606 $aReal interest rates$2imf 606 $aSecurities markets$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$aCapital market 615 7$aDeflation 615 7$aFinance 615 7$aFinance: General 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aInflation 615 7$aInterest rate parity 615 7$aInterest rates 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aMacroeconomics 615 7$aMarket interest rates 615 7$aPrice Level 615 7$aPrices 615 7$aReal interest rates 615 7$aSecurities markets 700 $aBanerjee$b Abhisek$01816107 701 $aSingh$b Manmohan$01815606 712 02$aInternational Monetary Fund.$bMiddle East and Central Asia Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910959023603321 996 $aTesting Real Interest Parity in Emerging Markets$94371764 997 $aUNINA