# **Data Appendix**

The interest rates data used is from _International Financial Statistics._ Five interest rate categories are used: Official rates _(60)_ represent rates at which the central banks lend to financial institutions. Money market rates _(6013)_ - representing interbank lending - and treasury bill rates _(60C)_ are the two wholesale rates, while bank deposit _(60L)_ and lending _(60P)_ rates are described as retail rates, though the data collected does typically refer to rather large transactions. IFS also contains some long-term government bond interest rates which we have not examined in this paper.

Up to the mid-1970s interest rate data other than official rates was only available for a handful of countries. Country coverage of the iinterest rate series in _IFS_ improved rapidly in the late 1970s so that from 1980 on fairly comprehensive coverage exists for the wholesale interest rates of over 50 countries, and the official and retail rates for over 70 countries.

For the monthly time series analysis of wholesale rates, we confined our analysis to countries for which complete or nearly<sup>34</sup> com-plete data was available over the period 1980-97. Treasury bill rates _(60C)_ are available for some 40 countries, of which 27 developing countries.<sup>35</sup> As it happens, 5 of these countries are all tiny members of the East Caribbean Currency Board (ECCB), with a common interest rate and exchange rate policy. A further five have populations of under 0.5 million. Therefore most of our analysis concentrates on the remaining 17 larger developing countries, together with one representative for the ECCB. In addition we find a further 17 developing countries for which substantially complete monthly data on imoney market rates _(60B)_ is available, of which seven share a comnmon rate in the West African Monetary Union. Excluding all **but** one of the latter, this gives a total of 28 developing countries for which complete data on the movements in wholesale rates can be analyzed. These countries are: Argentina, Brazil, Cote d'Ivoire, Fiji, Ghana, Guyana, India, Jamaica, Kenya, Korea, Malaysia, India, Sri Lanka, Mexico, Malawi, Mauritius, Nepal, Pakistan, Papua New Guinea, Philippines, St. Lucia, Sierra Leone, Singapore, Swaziland, Thailand, Trinidad and Tobago, Uganda, South Africa, Zimbabwe. Although a microstate, St. Lucia is included as a representative of the ECCB. C6te d'Ivoire represents the UMOA. The following 12 industrial countries, for which monthly data on _60C_ exist, were included as controls: Australia, Belgium, Canada, Germany, Ireland, Italy, New Zealand, Portugal, Spairn, Sweden, Switzerland, United Kingdom, United States.

For the expected or _ex ante_ real interest rates, a Hodrick-Prescott filter with parameter **16500** was applied to the log-change in each coulmtry's CPI, and the result subtracted frorn the nominal exchange rate (cf. Edison, 199[6]).

3" In a few cases short stretches of missing data were filled by interpolating available quarterly figures, or by using regression relationships with available data.

35 i.e. excluding those who were members of the OECD throughout. In this definition Korea and Mexico are included with the developing countries, as they were not members of the OECD for most of the sample.

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