An Assessment of Unconventional Monetary Policy During COVID-19 Pandemic in India

IF 1.2 Q3 BUSINESS, FINANCE
D. Rao, Rahul Kumar
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引用次数: 0

Abstract

We employ event study methodology to analyze the impact of unprecedented unconventional monetary policy (UMP) measures employed by the Reserve Bank of India to fortify monetary transmission mechanism and to restore financial stability. We find that the UMP announcements result in a decline in bond yields and yield spread as well as increase in market capitalization and sectoral portfolio of stock returns. Evaluating the relative efficacy of UMP measures, we find that targeted long-term repo operation announcements are more effective in easing bond yields than mere long-term repo operations. Our findings provide beneficial inference for day-traders and investors as asset prices increase significantly and durable goods producing stock returns found to be higher than those of non-durable goods. The lessons that can be drawn for the emerging market economy central banks, who do not have enough space to conduct conventional monetary policy and even when they do not face zero lower bound interest rate, they still can employ UMP tools to directly influence banks cost of funds, and long-term bond yields and interest rates, and in turn, portfolio of stock returns and investments to stimulate aggregate demand. JEL Codes: C13, C54, E52, E65
新冠肺炎疫情期间印度非常规货币政策评估
我们采用事件研究方法来分析印度储备银行为加强货币传导机制和恢复金融稳定而采取的前所未有的非常规货币政策(UMP)措施的影响。我们发现,非常规货币政策公告导致债券收益率和收益率息差的下降,以及市值和行业股票组合收益的增加。评估非常规货币政策措施的相对有效性,我们发现有针对性的长期回购操作公告在降低债券收益率方面比单纯的长期回购操作更有效。我们的研究结果为日内交易者和投资者提供了有益的推断,因为资产价格显著上涨,耐用品产生的股票回报高于非耐用品。新兴市场经济体央行没有足够的空间来实施常规货币政策,即使在不面临零利率的情况下,它们仍然可以利用非常规货币政策工具直接影响银行的资金成本、长期债券收益率和利率,进而影响股票投资组合的回报和投资,以刺激总需求。JEL代码:C13, C54, E52, E65
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来源期刊
CiteScore
1.80
自引率
33.30%
发文量
19
期刊介绍: The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.
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