Modeling and Forecasting Inflation in India

Callen, Tim; Chang, Dongkoo

doi:10.5089/9781451854152.001

Cited by 29 publications

(37 citation statements)

References 8 publications

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“…A number of other studies have used the Hodrick-Prescott (HP) method to estimate the output gap for India -Callen and Chang (1999), Ray and Chatterjee (2001), Srinivasan(2009), Dua and Gaur (2009), Kundan (2009), andPaul (2009). It is interesting to note that even though they use the HP approach, Callen and Chang (1999) list several drawbacks to this approach.Ozbekand Ozlale (2005) point out that the HP filter cannot capture the excessive boom-and-bust cycle along with volatile output, which is a well-known characteristic of many emerging markets.…”

Section: Concepts and Their Measurementmentioning

confidence: 99%

“…It is interesting to note that even though they use the HP approach, Callen and Chang (1999) list several drawbacks to this approach.Ozbekand Ozlale (2005) point out that the HP filter cannot capture the excessive boom-and-bust cycle along with volatile output, which is a well-known characteristic of many emerging markets. Another serious problem with the HP method is that it defines the estimated smoothed series of GDP as the potential output.…”

Section: Concepts and Their Measurementmentioning

confidence: 99%

“…However, this is not the maiden attempt to measure the output gap by the level of output method for the Indian economy.There have been several studies in this regard -the studies of Callen and Chang (1999), Ray and Chatterjee (2001), Kundan (2009) and Paul (2009). These studies have used the Index of Industrial Production (IIP) as a proxy for output to measure the output gap.…”

Section: Concepts and Their Measurementmentioning

confidence: 99%

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Revisiting the Empirical Existence of the Phillips Curve for India

2011

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This paper revisits the empirical existence of the Phillips curve in the Indian context. To estimate the Phillips curve we need two variables -inflation and the output gap. In the case of India, incorrect measurement of both variables causes much difficulty in estimating the Phillipscurve. We use a non-linear Kalman filter approach to estimate the output gap and find that the Kalman filter estimate captures all the dynamics of the economy. Our results show that after taking supply shocks into consideration, there is clear evidence as to the existence of the Phillips curve in India for recent years.JEL Classification: C32;E31; E50

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Section: Concepts and Their Measurementmentioning

confidence: 99%

Section: Concepts and Their Measurementmentioning

confidence: 99%

Section: Concepts and Their Measurementmentioning

confidence: 99%

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Revisiting the Empirical Existence of the Phillips Curve for India

2011

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“…Focusing on the forecasting performance of di¤erent variables, Callen and Chang (1999) show that broad money growth, exchange rates, and import prices are useful predictors of aggregate in ‡ation in India.…”

Section: Related Literaturementioning

confidence: 99%

Modeling Inflation in India: The Role of Money

Kishor

2008

SSRN Journal

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This paper studies the role of the real money gap-the deviation of real money balance from its long-run equilibrium level-for predicting in ‡ation in India. Using quarterly data on manufacturing in ‡ation from 1982 to 2007, we …nd that the real money gap is a signi…cant predictor of in ‡ation in India. Our results show that this variable is a better predictor of future in ‡ation at quarterly horizon than the deviation of broad money growth from its target for the whole sample period. We also document a break in the overall predictability of in ‡ation in the last quarter of 1995. We …nd that except for the real money gap, the forecasting power of other predictors under study has declined considerably after 1995.

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“…19 Among studies in this category, Callen and Chang (1999) attempted to explain and forecast the rate of inflation in India by alternative techniques. Their study revealed that among alternative indicators, M3 remained an important determinant of inflation.…”

Section: Figurementioning

confidence: 99%

Fiscal Analysis Is Darned Hard

Leeper¹

2017

Rethinking Fiscal Policy After the Crisis

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Modeling and Forecasting Inflation in India

Cited by 29 publications

References 8 publications

Revisiting the Empirical Existence of the Phillips Curve for India

Revisiting the Empirical Existence of the Phillips Curve for India

Modeling Inflation in India: The Role of Money

Fiscal Analysis Is Darned Hard

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