Industry Effects of Monetary Policy: Evidence from India
AbstractThe study exploits 2-digit level industry data for the period 1981-2004 to ascertain the interlinkage between a monetary policy shock and industry value added. Accordingly, we first estimate a Vector Auto Regression (VAR) model to ascertain the magnitude of a monetary policy shock on industrial output. Subsequently, we try to explain the observed heterogeneity in terms of industry characteristics. The findings indicate that (a) industries exhibit differential response to a monetary tightening and (b) both interest rate and financial accelerator variables tend to be important in explaining the differential response.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 17307.
Date of creation: Jan 2009
Date of revision:
Publication status: Published in Indian Economic Review 1.44(2009): pp. 89-105
industry; monetary policy; interest rate channel; financial accelerator; vector auto regression; cross section regression;
Other versions of this item:
- Saibal Ghosh, 2009. "Industry Effects of Monetary Policy: Evidence from India," Indian Economic Review, Department of Economics, Delhi School of Economics, Department of Economics, Delhi School of Economics, vol. 44(1), pages 89-105, July.
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-19 (All new papers)
- NEP-CWA-2009-09-19 (Central & Western Asia)
- NEP-MAC-2009-09-19 (Macroeconomics)
- NEP-MON-2009-09-19 (Monetary Economics)
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