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

In: Current Issues in the Economy and Finance of India

Author

Listed:
  • Gyanendra Pratap Singh

    (University of Allahabad)

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 policyMonetary policy on some key macroeconomic variablesMacroeconomic variables in pre-and post-global financial crisis of 2007–08. We estimate a reduced form Vector Autoregressive modelVector 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 policyMonetary policy shocks have expected effect on output and prices. However, the monetary policyMonetary 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.

Suggested Citation

  • Gyanendra Pratap Singh, 2018. "Some Empirical Evidence on the Effects of Monetary Policy in India: A Vector Autoregressive Based Analysis," Springer Proceedings in Business and Economics, in: Aswini Kumar Mishra & Vairam Arunachalam & Debasis Patnaik (ed.), Current Issues in the Economy and Finance of India, chapter 0, pages 43-54, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-99555-7_3
    DOI: 10.1007/978-3-319-99555-7_3
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    More about this item

    Keywords

    Monetary policy; Vector autoregressive model; Structural break; Impulse responses;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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