Interest - Rate Price Nexus in India
The present study examines the long-run relationship between nominal interest rate and expected inflation in India by using three interest rates and inflation rates, based on both CPI and WPI, with the help of monthly data from April 1990 to December 2001. By using the autoregressive distributed lag bounds testing procedure by Peasaran, Shin and Smith (2001), the study finds that Fisher relation has not been supported by the Indian experience. But this result is very sensitive to the lag length selection criterion.
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Volume (Year): 38 (2003)
Issue (Month): 2 (July)
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