Series: IMF Working Papers
Author(s): Abhisek Banerjee , and Manmohan Singh
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2006
Keywords: real interest parity, short-term local emerging market debt, Pesaran&;amp;#x2019;s CADF test, real interest rate, inflation, investors,
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 lon...