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Erschienen in:
Core Inflation Dynamics and Impact of Demand and Supply Shocks: Evidence from India Kapitel lesen Erstes Kapitel lesen

2018 | OriginalPaper | Buchkapitel

3. Some Empirical Evidence on the Effects of Monetary Policy in India: A Vector Autoregressive Based Analysis

verfasst von : Gyanendra Pratap Singh

Erschienen in: Current Issues in the Economy and Finance of India

Verlag: Springer International Publishing

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Abstract

The global financial crisis of 2007–08 has been one of the most difficult financial and economic episodes for the world economy. This chapter investigates changes in the impact of monetary policy on some key macroeconomic variables in pre-and post-global financial crisis of 2007–08. We estimate a reduced form Vector Autoregressive model of five variables: money, output, prices, interest rates and the exchange rates for pre-and post-crisis periods. The empirical evidence suggests that monetary policy shocks have expected effect on output and prices. However, the monetary policy transmission lags are significantly reduced in post crisis period. The peak effect on output and prices are felt with a lag of 5 and 12 months which were 13 and 23 months respectively in pre-crisis periods.

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Vorheriges Kapitel Demand for Money in India: An ARDL Approach
Nächstes Kapitel Stock Indices and Inflation Through Industry Prisms
Anhänge
Nur mit Berechtigung zugänglich
Fußnoten
1
MSF is the rate at which scheduled commercial banks (SCBs) can borrow overnight without giving any collateral at their discretion up to 1% of their respective Net Demand and Time Liabilities (NDTL) at penal rate 25 basis points above the repo rate.
 
2
For all the figures X axis shows months and Y axis units.
 
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Metadaten
Titel
Some Empirical Evidence on the Effects of Monetary Policy in India: A Vector Autoregressive Based Analysis
verfasst von
Gyanendra Pratap Singh
Copyright-Jahr
2018
Buch
Current Issues in the Economy and Finance of India

Print ISBN: 978-3-319-99554-0

Electronic ISBN: 978-3-319-99555-7

Copyright-Jahr: 2018

DOI
https://doi.org/10.1007/978-3-319-99555-7_3