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Testing Real Interest Parity in Emerging Markets

Testing Real Interest Parity in Emerging Markets »

Volume/Issue: 2006/249

Series: IMF Working Papers

Author(s): Abhisek Banerjee , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

DOI: http://dx.doi.org/10.5089/9781451865097.001

ISBN: 9781451865097

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...

Testing Real Interest Parity in Emerging Markets

Testing Real Interest Parity in Emerging Markets »

Source: Testing Real Interest Parity in Emerging Markets

Volume/Issue: 2006/249

Series: IMF Working Papers

Author(s): Abhisek Banerjee , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

ISBN: 9781451865097

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...