Indian Economic Review最新文献_第4页

A study of Fisher Effect in India. 印度费雪效应研究。

Indian Economic Review Pub Date : 2023-05-31 DOI: 10.1007/s41775-023-00180-1

Swapnil Suryavanshi

{"title":"A study of Fisher Effect in India.","authors":"Swapnil Suryavanshi","doi":"10.1007/s41775-023-00180-1","DOIUrl":"10.1007/s41775-023-00180-1","url":null,"abstract":"In this paper, the relationship between nominal interest rate and inflation is analyzed based on Fisher Effect (FE) theory. As per FE theory, the difference between nominal interest rate and expected inflation is equal to real interest rate. The theory proposes that a rise in expected inflation can lead to positive impact on nominal interest rate when the real interest rate is constant. For analyzing FE, the inflation rate measures based on Core index, Wholesale Price Index (WPI) and Consumer Price Index (CPI) are considered. As per rational expectation hypothesis, the one-period-ahead inflation rate is considered as expected inflation (eInf). The interest rates (IR) associated with call money, treasury bills of 91- and 364-day maturities are considered. The study uses ARDL bounds testing approach and Granger causality test for analyzing the long-run relationship between eInf and IR. The study finds evidence for presence of cointegrating relationship between eInf and IR in India. Contrary to FE theory, the long-run relation between eInf and IR is found to be negative. The extent and significance of long-run relationship varies depending on measures of eInf and IR considered. Along with cointegration, the expected WPI inflation and interest rate measures also exhibit Granger causality in at least one direction. Although, the cointegration is not observed between expected CPI and IR, there exists Granger causality between these variables. This increasing disconnect between eInf and IR could be attributed to adoption of flexible inflation targeting framework, pursual of additional objectives by monetary authority, different sources and types of inflation, etc.","PeriodicalId":36028,"journal":{"name":"Indian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10230480/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9680223","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Disentangling demand and supply side determinants of post-GFC credit slowdown: an Indian perspective. 解开全球金融危机后信贷放缓的需求和供给侧决定因素：印度视角。

Indian Economic Review Pub Date : 2023-05-31 DOI: 10.1007/s41775-023-00177-w

Saurabh Ghosh, Snehal Herwadkar, Radheshyam Verma, Pawan Gopalakrishnan

引用次数: 1

Impact of RBI's monetary policy announcements on government bond yields: evidence from the pandemic. 印度储备银行货币政策公告对政府债券收益率的影响：来自疫情的证据。

Indian Economic Review Pub Date : 2023-05-20 DOI: 10.1007/s41775-023-00171-2

Aeimit Lakdawala, Bhanu Pratap, Rajeswari Sengupta

{"title":"Impact of RBI's monetary policy announcements on government bond yields: evidence from the pandemic.","authors":"Aeimit Lakdawala, Bhanu Pratap, Rajeswari Sengupta","doi":"10.1007/s41775-023-00171-2","DOIUrl":"10.1007/s41775-023-00171-2","url":null,"abstract":"We investigate how the bond market responded to the Reserve Bank of India's (RBI) monetary policy actions undertaken since the start of the pandemic. Our approach involves combining a narrative analysis of the media coverage together with an event-study framework around RBI's monetary policy announcements. We find that the RBI's actions early in the pandemic were helpful in providing an expansionary impulse to the bond market. Specifically, long-term bond interest rates would have been meaningfully higher in the early months of the pandemic if not for the actions undertaken by the RBI. These actions involved unconventional policies providing liquidity support and asset purchases. We find that some of the unconventional monetary policy actions had a substantial signaling channel component where the market perceived the announcement of an unconventional monetary policy action as representing a lower future path for the short-term policy rate. We also find that the RBI's forward guidance was more effective in the pandemic than it had been in the couple of years preceding the pandemic.","PeriodicalId":36028,"journal":{"name":"Indian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10199284/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10074220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Heterogeneity in the impact of risk on local currency borrowing 风险对本币借款影响的异质性

Indian Economic Review Pub Date : 2023-05-20 DOI: 10.1007/s41775-023-00176-x

Matthew Theobald