{"title":"货币政策的决定因素：制度转换模型的应用","authors":"","doi":"10.35716/ijed-23324","DOIUrl":null,"url":null,"abstract":"The monetary policy of India has undergone substantial changes since 2013, particularly after taper tantrum episodes. The RBI moved from WPI to CPI for measuring inflation. Monetary policy anchoring shifted from a multiple-indicator approach (MIA) to flexible inflation targeting (FIT) in 2016 to deal with the aftermath of the global financial crisis. In this context, the study examined whether there was a significant shift in the monetary policy regime using a non-linear model (Markov Switching-Vector Autoregression Model) covering monthly data from 2013 to 2020. The study also investigated the role of the inflation rate, oil price, growth rate, and exchange rate in influencing monetary policy in India. The study found no change in the RBI monetary policy regime, and monetary policy remained biased towards controlling the inflation rate. \n\nKeywords: Monetary policy, MS-VAR, regime change, Taylor Rule\nJEL Codes: E44, E52, E58.","PeriodicalId":43367,"journal":{"name":"Indian Journal of Economics and Development","volume":null,"pages":null},"PeriodicalIF":0.3000,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Determinants of Monetary Policy: An Application of Regime Switching Model\",\"authors\":\"\",\"doi\":\"10.35716/ijed-23324\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The monetary policy of India has undergone substantial changes since 2013, particularly after taper tantrum episodes. The RBI moved from WPI to CPI for measuring inflation. Monetary policy anchoring shifted from a multiple-indicator approach (MIA) to flexible inflation targeting (FIT) in 2016 to deal with the aftermath of the global financial crisis. In this context, the study examined whether there was a significant shift in the monetary policy regime using a non-linear model (Markov Switching-Vector Autoregression Model) covering monthly data from 2013 to 2020. The study also investigated the role of the inflation rate, oil price, growth rate, and exchange rate in influencing monetary policy in India. The study found no change in the RBI monetary policy regime, and monetary policy remained biased towards controlling the inflation rate. \\n\\nKeywords: Monetary policy, MS-VAR, regime change, Taylor Rule\\nJEL Codes: E44, E52, E58.\",\"PeriodicalId\":43367,\"journal\":{\"name\":\"Indian Journal of Economics and Development\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2023-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Indian Journal of Economics and Development\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.35716/ijed-23324\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Indian Journal of Economics and Development","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.35716/ijed-23324","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
Determinants of Monetary Policy: An Application of Regime Switching Model
The monetary policy of India has undergone substantial changes since 2013, particularly after taper tantrum episodes. The RBI moved from WPI to CPI for measuring inflation. Monetary policy anchoring shifted from a multiple-indicator approach (MIA) to flexible inflation targeting (FIT) in 2016 to deal with the aftermath of the global financial crisis. In this context, the study examined whether there was a significant shift in the monetary policy regime using a non-linear model (Markov Switching-Vector Autoregression Model) covering monthly data from 2013 to 2020. The study also investigated the role of the inflation rate, oil price, growth rate, and exchange rate in influencing monetary policy in India. The study found no change in the RBI monetary policy regime, and monetary policy remained biased towards controlling the inflation rate.
Keywords: Monetary policy, MS-VAR, regime change, Taylor Rule
JEL Codes: E44, E52, E58.
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