Search
Now showing items 1-10 of 20
Estimating output gap for the Indian economy: comparing results from unobserved - components models and the Hodrick - Prescott filter
(2010-03-31)
Output gap estimates are constructed for India using unobserved components model (UCM) approach
on the lines of Watson (1986) and Kuttner (1994). Results from UCMs are not found to be any less
sensitive to data revisions ...
Fan charts as useful "maps" for an inflation - targeting central bank: an illustration of the Sveriges Riksbankszs method for presenting density forecasts of inflation
(2010-03-31)
In this study I illustrate the usefulness of Fan Charts for a central bank and show how they can be used to
present its viewpoint on likely paths of future inflation. Exploiting a bivariate unobserved components
model, ...
On the Choice of Optimization Routine in Estimation of Parsimonious Term Structure Models: Results from the Svensson Model
(2013-11-25)
Objective function in term structure estimation with price errors is not only nonlinear
but also non-convex in parameters. This makes the final results sensitive to
both the choice of the optimization routine as well as ...
Information in the Term Structure – The Indian Evidence (I): Modeling the Term Structure and Information at the Short End for Future Inflation
(2009-08-08)
This study is first in part of an on-going work on assessing the information content of the term structure in India for future inflation, future short rates and real interest rates.
In this paper, first the Indian term ...
Information in the Term Structure – The Indian Evidence (I): Modeling the Term Structure and Information at the Short End for Future Inflation
(2009-08-08)
This study is first in part of an on-going work on assessing the information content of the term structure in India for future inflation, future short rates and real interest rates.
In this paper, first the Indian term ...
On Estimability of Parsimonious Term Structure Models: An Experiment with Three Popular Specifications
(2009-09-01)
This study addresses operational issues in estimation of parsimonious term structure models. When using price errors, objective function in term structure estimation is a highly non-linear function of the parameters. This ...
Assessing NSE’s Daily Zero Coupon Yield Curve Estimates: A Comparison with Few Competing Alternatives
(2009-09-01)
This study assesses and compares, on select criteria of evaluation, the time series of daily term structure estimates provided by the National Stock Exchange (NSE) [using the Nelson-Siegel (1987; NS) methodology] with ...
Distribution of Cross-Section of Price Changes and Measurement of Inflation
(2009-09-02)
In this study we look at the statistical properties of components forming the Wholesale Price Index (WPI), the headline inflation index for the Indian economy. We find that not only is the distribution of price changes at ...
Unit Root Tests: Results from some recent tests applied to select Indian macroeconomic variables
(2009-09-03)
Results from newly developed unit roots tests of ERS (1996), PN (1996), NP (2001) and LM (1994) are compared against their traditional counterparts (ADF, PP and KPSS) on select Indian macroeconomic data. Results from ERS, ...
Examination of the credit channel of monetary transmission in India : results from response of commercial bank' balance sheet to a monetary policy stock
(2009-12-12)
In this study I present some evidence on the credit channel of monetary transmission in India. Using the set up of Bernanke and Blinder (1992) it is found that loans, investments and deposits of commercial banking system ...