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Monetary Transmission in the Indian Economy

In: Macroeconometric Methods

Author

Listed:
  • Pami Dua

    (University of Delhi)

  • Anshumaan Tuteja

    (University of Warwick)

Abstract

This paper examines monetary transmission channels of India during the period 1998 to 2015. In a structural VAR framework, we use a non-recursive strategy to identify monetary policy shocks using monthly data while controlling for international factors like global interest rates and oil prices affecting the Indian economy. Our results confirm that a contractionary shock lowers inflation as well as long-term expectations on inflation and output, while output response is low and insignificant. We also find the presence of the exchange rate channel and evidence of a weak asset price channel in the Indian economy.

Suggested Citation

  • Pami Dua & Anshumaan Tuteja, 2023. "Monetary Transmission in the Indian Economy," Springer Books, in: Pami Dua (ed.), Macroeconometric Methods, chapter 0, pages 97-122, Springer.
    • Handle: RePEc:spr:sprchp:978-981-19-7592-9_5
    DOI: 10.1007/978-981-19-7592-9_5
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    More about this item

    Keywords

    Transmission of monetary policy; Structural VAR; India; Expectations channel; Monetary policy shocks;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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