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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 ...
A Re-look at the long-run stability of the money multiplier in India
(2009-12-12)
To check the stability of the money multiplier, the aggregate relationship between a measure of money stock and reserve money is examined. Section II, after a brief literature review, methodology followed in the study is ...
Operationalising Taylor-rules for the Indian economy : issues and some results (1922Q3-2001Q4)
(2009-12-12)
This study is an attempt to formulate a monetary policy reaction function for India. In particular I model background and forward looking Taylor and McCallum rules for the period post BoP crists. It is found that ...