A Structural Vector Autoregression Model for Monetary Policy Analysis in India

Paramanik, Rajendra Narayan; Kamaiah, Bandi

doi:10.1177/0973801014544580

Cited by 9 publications

(3 citation statements)

References 35 publications

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“…Based on monthly data from 1993:1 to 2009:9, Sharma et al (2010) have found that money supply causes output in the short run, while in the long run it only affects prices. Pramanik and Kamaiah (2014) have found that contractionary monetary policy has an adverse impact on Indian output from April 1992 to December 2012. Besides, they have also reported that an appreciation of the exchange rate negatively impacts industrial production but causes an increase in price level.…”

Section: The Effectiveness Of Monetary Policy: a Review Of Empirical mentioning

confidence: 99%

Monetary Policy, Trade Openness and Economic Growth in India Under Monetary-targeting and Multiple-indicator Approach Regimes

Hossain

Maitra

2019

Arthaniti: Journal of Economic Theory and Practice

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This article examines the role of monetary policy and trade openness to raise income in India for the monetary-targeting regime and the multiple-indicator approach regime of monetary policy. The impact of the key instruments of monetary policy, namely, money supply, interest rate and exchange rate, with trade openness on income, is assessed. Besides, how interest rate responds to monetary instruments, income and trade openness is studied. Empirical analysis finds a significant positive impact of the broad money supply, both in the short run and the long run, along with a negative long-run impact of the real interest rate and a positive impact of the real effective exchange rate in the variations of income. On the other hand, trade openness contributes to a rise in income in the short run, while its impact on the long run is negative. The interest rate has also responded to policy instruments, income and openness which indicates that the monetary policy is effective over the two monetary regimes.

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Section: The Effectiveness Of Monetary Policy: a Review Of Empirical mentioning

confidence: 99%

Monetary Policy, Trade Openness and Economic Growth in India Under Monetary-targeting and Multiple-indicator Approach Regimes

Hossain

Maitra

2019

Arthaniti: Journal of Economic Theory and Practice

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“…Following [48,69,70], the process of generating the IRFs and VEDs is to re-specify the auto regressive function as follows:…”

Section: Derivation Of Variance Decomposition and Impulse Response Fu...mentioning

confidence: 99%

Monetary Policy, External Shocks and Economic Growth Dynamics in East Africa: An S-VAR Model

2022

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Resulting from the incessant political and economic uncertainty that bedevils the EAC region in the recent past, the various governments have used monetary policy changes in response to shocks from macroeconomic variables. However, the available literature shows a non-agreement by scholars as far as the dynamics in monetary policy, external shocks and macroeconomic activity connections are concerned, for both country-by-country analyses and regional assessments. This article widens the frontiers of knowledge about how the dynamics of monetary policy, external shocks and macroeconomic performance interact within the EAC economic region. We adopted the S-VAR method because of its contemporary nature as far as a transmission of monetary policy approach is concerned. The interconnectivity among the countries of EAC is an indication that any shock to the price of commodities (non-oil commodities) has significant implication on the exchange rate, which will be channelled through the supply of money and monetary policy to the GDP. The need to diversify the productive and export base of member countries, compared to the continuous dependence on one or a few products as the major source of income, is hereby advocated.

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“…There have been attempts to study the relationship between these variables in the Indian economy; see, for example, Sabade (2014), Paramanik and Kamaiah (2014), Rami (2010), Ramachandran (2004) and Das (2010). This article is a contribution to the literature.…”

Section: Introductionmentioning

confidence: 99%

Monetary Policy Disturbance in India: The Relationships Among Money, Output and Prices

Sharma

Nurudeen

2019

The Indian Economic Journal

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The study examines the relationships among money supply, output and prices. Quarterly data were sourced from the Federal Reserve Bank of St. Louis, which spanned from 1996 Q2 to 2019 Q1. Four variables were included in the study: GDP, inflation (Consumer Price Index [CPI]) and two measures of money supply (M1 and M3). The findings of the study reveal that money supply is correlated with India’s output as well as inflation. Johansen’s test of co-integration reveals the existence of a long-term relationship among the variables. Another striking finding of this study is that neither M1 nor M3 could cause output (GDP) in the short run, but both Granger-cause inflation in the short run, which may be attributed to the output growth capacity limit of the country. The monetary policy disturbance in relation to other variables was examined through a structural vector autoregressive (SVAR) model that indicates that the two measures of money supply exert a positive impact on GDP. Similarly, the finding also shows that a monetary policy shock from the two measures of money supply causes a positive and continuous increase in inflation in India. Thus, money supply measure M3 is a potential indicator of movement in India’s output; hence the monetary authority should be mindful of inflation while targeting output expansion through money supply.

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A Structural Vector Autoregression Model for Monetary Policy Analysis in India

Cited by 9 publications

References 35 publications

Monetary Policy, Trade Openness and Economic Growth in India Under Monetary-targeting and Multiple-indicator Approach Regimes

Monetary Policy, Trade Openness and Economic Growth in India Under Monetary-targeting and Multiple-indicator Approach Regimes

Monetary Policy, External Shocks and Economic Growth Dynamics in East Africa: An S-VAR Model

Monetary Policy Disturbance in India: The Relationships Among Money, Output and Prices

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