Monetary Transmission Mechanism in India: A Quarterly Model

Kapur, Muneesh; Behera, Harendra

doi:10.2139/ssrn.2120792

Cited by 30 publications

(23 citation statements)

References 37 publications

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“…Among larger EMDEs, the average ERPTR in China is estimated at +0.08 since 1998, somewhat below previously reported estimates (Jiang and Kim 2013;Shu and Su 2009;Wang and Li 2010). For India, the average ERPTR is estimated at +0.14, broadly in line with previous studies (Bhattacharya, Patnaik, and Shah 2008;Kapur and Behera 2012). For the Russian Federation, it is measured at +0.11, consistent with findings of the Central Bank of the Russian Federation (2014).…”

Section: Inflation and Exchange Rate Pass-throughsupporting

confidence: 82%

Inflation and exchange rate pass-through

Stocker

Yilmazkuday

2020

Journal of International Money and Finance

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The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

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Section: Inflation and Exchange Rate Pass-throughsupporting

confidence: 82%

Inflation and exchange rate pass-through

Stocker

Yilmazkuday

2020

Journal of International Money and Finance

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“…The study illustrates that a positive shock to the policy rate leads to a slowdown in credit growth with a lag of two quarters, which eventually has a negative impact on GDP growth and inflation. Kapur and Behera (2012) analyse the impact of monetary policy on output and inflation in India during the period 1996:Q1 to 2011:Q4. They find a significant impact of monetary policy on output and inflation, but a modest impact on inflation.…”

Section: The Impact Of Monetary Policy On Output and Inflation In Indiamentioning

confidence: 99%

“…Hence, during conditions of excess liquidity the reverse-repo rate was the effective policy rate, whereas in tight liquidity conditions the repo rate was the effective policy rate. Therefore the policy rate switched between the repo rate and the reverse-repo rate (Kapur and Behera 2012). As a result, a single rate was needed to signal the monetary policy position, the monetary-policy-operating framework was modified, and a new operating framework came into effect in May 2011.…”

Section: The Impact Of Monetary Policy On Output and Inflation In Indiamentioning

confidence: 99%

The impact of monetary policy on output and inflation in India: A frequency domain analysis

Salunkhe

Patnaik

2017

EKON ANAL

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In the recent past, several attempts by the RBI to control inflation through tight monetary policy have ended up slowing the growth process, thereby provoking prolonged discussion among academics and policymakers about the efficacy of monetary policy in India. Against this backdrop, the present study attempts to estimate the causal relationship between monetary policy and its final objectives; i.e., growth, and controlling inflation in India. The methodological tool used is testing for Granger Causality in the frequency domain as developed by Lemmens et al. (2008), and monetary policy has been proxied by the weighted average call money rate. In view of the fact that output gap is one of the determinants of future inflation, an attempt has also been made to study the causal relationship between output gap and inflation. The results of empirical estimation show a bi-directional causality between policy rate and inflation and between policy rate and output, which implies that the monetary authorities in India were equally concerned about inflation and output growth when determining policy. Furthermore, any attempt to control inflation affects output with the same or even greater magnitude than inflation, thereby damaging the growth process. The relationship between output gap and inflation was found to be positive, as reported in earlier studies for India. Furthermore, the output gap causes inflation only in the short-tomediumrun.

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“…Finally, if the size of the exchange rate shock is larger, the degree of the pass-through becomes larger. Khundrakpam (2007) by Kapur and Behera (2012) where using VAR model for 1996Q2-2011Q1 period, the authors estimate the long-run pass-through degree for headline CPI in India as 0.10.…”

Section: 2country-specific Empirical Studiesmentioning

confidence: 99%

Gelişmekte olan Ülkelerde Döviz Kuru Geçişkenliği üzerine Bir Literatür Taraması

Tunç

2017

Bulletin of Economic Theory and Analysis

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This article reviews the literature on exchange rate pass-through in emerging markets with a special focus on the burgeoning empirical research. The literature has overwhelmingly agreed on the recent decline in the pass through in low inflationary environment after the adoption of inflation targeting in many countries. However, the empirical evidences also suggest varying degrees of the pass-through depending on the size and direction of exchange rate changes. Finally, researches on the exchange rate pass-through on disaggregated price indices or the differential pass-through due to the source of exchange rate changes are becoming promising research strands for the estimation of the pass through.

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Monetary Transmission Mechanism in India: A Quarterly Model

Cited by 30 publications

References 37 publications

Inflation and exchange rate pass-through

Inflation and exchange rate pass-through

The impact of monetary policy on output and inflation in India: A frequency domain analysis

Gelişmekte olan Ülkelerde Döviz Kuru Geçişkenliği üzerine Bir Literatür Taraması

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