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Measuring Monetary Policy Shocks in Emerging Economies: Evidence from India

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  • AEIMIT LAKDAWALA
  • RAJESWARI SENGUPTA

Abstract

In this paper, we provide a template for constructing monetary policy shocks for emerging economies. Our approach synthesizes financial data with a narrative analysis of central bank communication and related media coverage. We create a publicly available time‐series database of policy dates and shocks for the Reserve Bank of India (RBI). Our shocks suggest that financial markets infer information about the future path of policy rate from RBI communication. Bond and stock markets react strongly to these monetary shocks but exhibit heterogeneity across governor regimes. Finally, we use the shocks as external instruments to identify the impact on macro‐economic variables.

Suggested Citation

  • Aeimit Lakdawala & Rajeswari Sengupta, 2025. "Measuring Monetary Policy Shocks in Emerging Economies: Evidence from India," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 57(2-3), pages 407-437, March.
    • Handle: RePEc:wly:jmoncb:v:57:y:2025:i:2-3:p:407-437
    DOI: 10.1111/jmcb.13144
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