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Testing real interest parity in emerging markets /
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 ro...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund, Middle East and Central Asia Dept.,
©2006.
|
| Colección: | IMF working paper ;
WP/06/249. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Singh, Manmohan, |d 1964- |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjvX6JTd99K7Dk8GKQbBGd | |
| 245 | 1 | 0 | |a Testing real interest parity in emerging markets / |c [prepared by] Manmohan Singh and Abhisek Banerjee. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, Middle East and Central Asia Dept., |c ©2006. | ||
| 300 | |a 1 online resource (20 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper ; |v WP/06/249 | |
| 504 | |a Includes bibliographical references (pages 18-20). | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a 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. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. DATA AND GRAPHICAL ANALYSIS -- III. METHODOLOGY -- IV. EMPIRICAL RESULTS -- V. CONCLUSION AND POLICY ISSUES -- References | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Interest rates |z Developing countries |x Econometric models. | |
| 650 | 0 | |a Globalization |z Developing countries |x Econometric models. | |
| 650 | 0 | |a Monetary policy |z Developing countries |x Econometric models. | |
| 650 | 0 | |a Markets |z Developing countries. | |
| 650 | 0 | |a Interest rates |z Developing countries. | |
| 651 | 0 | |a Developing countries |x Economic conditions. | |
| 650 | 6 | |a Marchés (Économie politique) |z Nouveaux pays industrialisés. | |
| 650 | 6 | |a Taux d'intérêt |z Nouveaux pays industrialisés. | |
| 651 | 6 | |a Nouveaux pays industrialisés |x Conditions économiques. | |
| 650 | 7 | |a Markets |2 fast | |
| 650 | 7 | |a Interest rates |2 fast | |
| 650 | 7 | |a Economic history |2 fast | |
| 650 | 7 | |a Interest rates |x Econometric models |2 fast | |
| 650 | 7 | |a Monetary policy |x Econometric models |2 fast | |
| 651 | 7 | |a Developing countries |2 fast | |
| 700 | 1 | |a Banerjee, Abhisek, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Middle East and Central Asia Department. | |
| 776 | 0 | 8 | |i Print version: |a Singh, Manmohan, 1964- |t Testing real interest parity in emerging markets. |d Washington, D.C. : International Monetary Fund, Middle East and Central Asia Dept., ©2006 |w (OCoLC)124077170 |
| 830 | 0 | |a IMF working paper ; |v WP/06/249. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014325 |z Texto completo |
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