Browsing Working Papers by Author "Virmani, Vineet"
Now showing items 1-20 of 20
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Are investors ethics agnostic?
Jaikumar, Saravana; Pingali, Viswanath; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2015)In this paper we ask if the perception investors have regarding ethical nature of the management per se influences their action. In order to check for rent seeking behaviour that could arise when there is negative perception ... -
Assessing NSE’s Daily Zero Coupon Yield Curve Estimates: A Comparison with Few Competing Alternatives
Virmani, Vineet (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 ... -
Attitudes towards risk of forest dependent communities evidence from Andhra Pradesh
Sundar, B.; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2013)This study is an attempt to generate empirical evidence on attitude towards risk of forest dependent communities (FDCs). The FDCs covered in the study include two different geographical regions from the Indian state of ... -
Derivatives pricing using QuantLib: an introduction
Varma, Jayanth R.; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2015)Given the complexity of over-the-counter derivatives and structured products, al- most all of derivatives pricing today is based on numerical methods. While large fi- nancial institutions typically have their own team of ... -
Distribution of Cross-Section of Price Changes and Measurement of Inflation
Virmani, Vineet (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 ... -
Estimating output gap for the Indian economy: comparing results from unobserved - components models and the Hodrick - Prescott filter
Virmani, Vineet (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 ... -
Examination of the credit channel of monetary transmission in India : results from response of commercial bank' balance sheet to a monetary policy stock
Virmani, Vineet (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 ... -
Fan charts as useful "maps" for an inflation - targeting central bank: an illustration of the Sveriges Riksbankszs method for presenting density forecasts of inflation
Virmani, Vineet (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, ... -
"Impatience" of forest dependent communities evidence from Andhra Pradesh
Sundar, B.; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2013)This study is an attempt to generate empirical evidence on the time discount rate or “impatience” of forest dependent communities (FDCs). The FDCs covered in the study include two different geographical regions from the ... -
Information in the Term Structure – The Indian Evidence (I): Modeling the Term Structure and Information at the Short End for Future Inflation
Virmani, Vineet (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
Virmani, Vineet (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 ... -
Model risk in pricing path-dependent derivatives: an illustration
Virmani, Vineet (Indian Institute of Management, Ahmedabad, 2014)Model selection and model uncertainty go hand-in-hand. However, while there is uncertainty associated with the selection of any model, the context is paramount. This study is an illustration of issues surrounding model ... -
Numeracy and financial literacy of forest dependent communities evidence from Andhra Pradesh
Sundar, B.; Virmani, Vineet (2013-11-26)This study is an attempt to measure the numeracy and financial literacy of forest dependent communities (FDCs) in India using data from the two economically different forest communities in the state of Andhra Pradesh. ... -
On Estimability of Parsimonious Term Structure Models: An Experiment with Three Popular Specifications
Virmani, Vineet (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 ... -
On the Choice of Optimization Routine in Estimation of Parsimonious Term Structure Models: Results from the Svensson Model
Virmani, Vineet (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 ... -
Open access temptations: Buyer beware
Virmani, Vineet (Indian Institute of Management Ahmedabad, 2016-04-05)Backlash against "megapublishers” which began in mathematics a decade ago has led to an exponential growth in open access journals. Their increasing numbers and popularity notwithstanding, there is evidence that not all ... -
Operationalising Taylor-rules for the Indian economy : issues and some results (1922Q3-2001Q4)
Virmani, Vineet (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 ... -
A Re-look at the long-run stability of the money multiplier in India
Virmani, Vineet (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 ... -
Shiny alternative for finance in the classroom
Varma, Jayanth R.; Virmani, Vineet (Indian Institute of Management Ahmedabad, 2017-03-31)Despite the popularity of open-source languages like R and Python in modern empirical research and the data-science industry, spreadsheet programs like Microsoft Excel remain the data analysis software of choice in much ... -
Unit Root Tests: Results from some recent tests applied to select Indian macroeconomic variables
Virmani, Vineet (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, ...