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Interest Rate - Price Nexus in India

N R BHANUMURTHY and SHASHI AGARWAL
Indian Economic Review
New Series, Vol. 38, No. 2 (July-December 2003), pp. 189-203
Stable URL: http://www.jstor.org/stable/29793790
Page Count: 15
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Interest Rate - Price Nexus in India
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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 developed by Pesaran, Shin & 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 criteria.

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