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Interest - Rate Price Nexus in India

Author

Listed:
  • N R Bhanumurthy

    (Development Planning Centre, Institute of Economic Growth, Delhi-110007, India)

  • Shashi Agarwal

    (Development Planning Centre, Institute of Economic Growth, Delhi-110007, India)

Abstract

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.

Suggested Citation

  • N R Bhanumurthy & Shashi Agarwal, 2003. "Interest - Rate Price Nexus in India," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 38(2), pages 189-203, July.
  • Handle: RePEc:dse:indecr:v:38:y:2003:i:2:p:189-203
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    Citations

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    Cited by:

    1. repec:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0075-8 is not listed on IDEAS
    2. repec:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0079-2 is not listed on IDEAS
    3. Rodionova, Alena, 2014. "Formation of long-term rate of return: Fisher effect in the markets of public debt of developing countries," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, pages 116-139.
    4. repec:spr:jqecon:v:15:y:2017:i:3:d:10.1007_s40953-016-0065-0 is not listed on IDEAS

    More about this item

    Keywords

    ARDL-Bounds test; Cointegration; Fisher equation;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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