Are all movements in food and energy prices transitory? Evidence from India

Bhatt, Vipul; Kishor, N. Kundan

doi:10.1016/j.jpolmod.2015.01.005

Cited by 9 publications

(7 citation statements)

References 13 publications

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“…In the latter case, an interest rate hike causes a downfall in consumption, investment and GDP growth rate bringing down the prices and food inflation. Bhatt and Kishor (2015) and Bhattacharya and Jain (2020) empirically examine the effect of monetary policy through demand channel in the presence of supply side channel on food inflation in a panel of advanced and emerging economies. In developed economies, cost channel dominates with positive rise in all prices (price puzzle), whereas for emerging economies, AD channel dominates for core inflation with negative effect, but because of Engel’s law, it has a weak effect on food and headline inflation.…”

Section: Findings and Discussionmentioning

confidence: 99%

A Decade of Impact of Monetary Policy on Food Inflation: An Overview and Future Direction

Kaur

2021

Vision: The Journal of Business Perspective

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This article presents a systematic literature review spanning the decade of 2010–2020 in a thematic fashion. It provides an in-depth analysis of how monetary policy regimes are responding to food inflation. It discusses about factors driving food inflation and the manner in which efficiency of financial markets facilitate policy transmission. Further, it explains how food insecurity is exacerbated by rise in food prices and the way high-income countries protect their farmers through input subsidies, indirectly contributing to global food price hike. It also argues that a strong monetary policy credibility can lend stationarity and mean-reversion to inflation rates. Next, it discusses the issues faced by central banks in measurement of inflation such as conflict of choice in different inflation measures and supply side constraints ranging from high farm-to-fork mark-ups to cartelization and hoarding. In subsequent section, it deals with the question whether to target headline or core inflation. After that, it presents a snapshot of various advanced and emerging countries operating their monetary policy in the presence of fiscal policy. It illustrates that the degree of fiscal intervention should be decided according to individual threshold of every country, taking into account the proportion of Ricardian and non-Ricardian population.

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Section: Findings and Discussionmentioning

confidence: 99%

A Decade of Impact of Monetary Policy on Food Inflation: An Overview and Future Direction

Kaur

2021

Vision: The Journal of Business Perspective

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“…This approach has been used to take into account the productivity slowdown of 1970s in the context of trendcycle decomposition of GDP by Clark (1989). The cycles follow a parsimonious VAR (2) process. The model outlined above also allows for Markov-Switching heteroscedasticity in the disturbance term of the trend and the cycle equations.…”

Section: Related Literaturementioning

confidence: 99%

“…According to the MSCI 1 , the size of the professionally managed global real estate investment market was $7.4 trillion in 2016. According to the NAREIT 2 , in 2016 there were 189 REITs listed on the New York Stock Exchange with a combined equity market capitalization of $986 billion. Commercial real estate investments come in two forms: private and public.…”

Section: Introductionmentioning

confidence: 99%

“…If one examines the correlation in returns across di¤erent time horizons, the contemporaneous correlation between the returns on public and private real estate investments is typically found to be weak over quarterly and annual horizons 4 In contrast, the 1 Morgan Stanley Capital International. 2 The National Association of Real Estate Investment Trusts (NAREIT) is an association representing real estate investment trusts and publicly traded real estate companies with an interest in U.S. real estate and capital markets. 3 Though the …rst legislation permitting REITs in the United States was signed into law by President Eisenhower in 1960, it was not until the early 1990s that REITs became widely traded and that the …rm structure began to be widely emulated in other countries.…”

Section: Introductionmentioning

confidence: 99%

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Understanding the relationship between public and private commercial real estate markets

Kishor

2020

Journal of Property Research

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This paper studies the dynamic relationship between public and private commercial real estate market in the U.S. To do so, we propose a correlated unobserved component model with a common trend and Markov-Switching heteroscedasticity. This model addresses the dichotomy in the relationship between these two markets in the shortrun and the long-run by allowing for a common long-run trend and correlated short-run cycles. To take into account the non-linearity in the commercial real estate dynamics, we also allow Markov regime-switching in shocks to the trend and the cycles. Consistent with the …ndings of the literature, we …nd almost one-for-one comovement in these two markets in the long-run. However, our results suggest signi…cant di¤erence in the correlation of the cycles in low volatility and high volatility regimes. We …nd high degree of correlation between private and public commercial real estate cycles only in the high volatility regime. This explains the low correlation in the return of these two markets as has been widely reported in the literature. Moreover, we also …nd that the past movements in public commercial real estate cycle predict future movement in private commercial real estate cycles re ‡ecting the forward-looking nature of the public commercial real estate market.

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“… Multivariate correlated unobserved component model has also been applied in other context. See, for example, Sinclair (), Morley (), Bhatt and Kishor () among others. …”

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confidence: 99%

The rise of dollar credit in emerging market economies and US monetary policy

Huang

Kishor

2018

World Economy

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This paper examines the hypothesis that the boom in dollar credit in emerging market economies (EMEs) is associated with an excessively low interest rate in the US. For this purpose, we use a multivariate correlated unobserved component model that allows for correlation between shocks to dollar credit, cross‐border interest rate gaps—measured as the difference between emerging market interest rate and the US interest rate, and dollar index both in the short run and in the long run. In addition, it also provides us a quantitative estimate of the permanent and transitory movements in dollar credit in EMEs, interest rate gaps and dollar index. The results from this model do suggest that a temporary increase in interest rate gaps and decline in the dollar index are associated with a temporary increase in the dollar credit in EMEs with a very high degree of correlation. The estimate of the cyclical component of the dollar credit in EMEs from our model captures the recent boom and bust in this market and compares favourably to alternative trend–cycle decomposition methods.

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Are all movements in food and energy prices transitory? Evidence from India

Cited by 9 publications

References 13 publications

A Decade of Impact of Monetary Policy on Food Inflation: An Overview and Future Direction

A Decade of Impact of Monetary Policy on Food Inflation: An Overview and Future Direction

Understanding the relationship between public and private commercial real estate markets

The rise of dollar credit in emerging market economies and US monetary policy

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