Press Release RBI Working Paper Series No. 14: Determinants of Liquidity and the Relationship between Liquidity and Money: A Primer @A.K. Mitra and Abhilasha *The term liquidity is varyingly used signifying financial flows of various kinds, ranging from that originating from the central bank to the overall existent financing available in the banking system. By analysing the impact that central bank actions and autonomous factors such as government financial flows, for

Press Release RBI Working Paper Series No. 11 Monetary Policy Transmission in India: A Peep Inside the Black Box@Jeevan Kumar Khundrakpam and Rajeev Jain Abstract 1Using SVAR models on quarterly data for 1996-97:1 to 2011-12:1, the paper examines the relative importance of various transmission channels of monetary policy to GDP growth and inflation in India. It finds that external exogenous factors prolong the impact of monetary policy transmission on GDP growth and i

Press Release RBI Working Paper Series No. 12 Countercyclical Capital Buffer Guidance for India@Tulasi Gopinath and A.K. Choudhary* Basel Committee on Banking Supervision (BCBS) has published its guidance for operating the countercyclical capital buffer. It has, inter alia, recommended that credit-to-GDP ratio could be the buffer guide. This paper argues that BCBS buffer guide is not suitable for India and showcases an alternative buffer guide, reflecting their underl

Press Release RBI Working Paper Series No. 10 Systemic Liquidity Index for India @Rabi N. Mishra, G. Jagan Mohan and Sanjay Singh Abstract *Stress in liquidity is at the heart of any banking crisis in history. During the financial crisis of 2007-09, funding liquidity risk caused the collapse of interbank markets, which became the focus of authorities’ attention at restoring order. Accordingly, central banks and other regulatory bodies world-wide have been evolving pru

Press Release RBI Working Paper Series No. 09 Monetary Transmission Mechanism in India: A Quarterly Model@Muneesh Kapur and Harendra Behera 1This paper examines monetary transmission mechanism for India in the context of a small macro model using quarterly data. Given the volatility emanating from the agricultural sector, the paper models both overall growth and overall inflation as well as non-agricultural growth and non-food manufactured products inflation, i.e., c

Press Release RBI Working Paper Series No. 08 Volatility Transmission in the Exchange Rate of the Indian Rupee @Satyananda Sahoo Abstract 1The paper analyzes volatility spillovers from the exchange rates of the Brazilian Real, the Russian Ruble, the South Korean Won, the Singapore Dollar, the Japanese Yen, the Swiss Franc, the British Pound Sterling and the Euro to the exchange rate of the Indian Rupee during 2005-11. The study employs a two-step multivariate GARCH fr

Press Release RBI Working Paper Series No. 07 Measures of Nominal and Real Effective Lending Rates of Banks in India@Deepak Mohanty, A B Chakraborty and S Gangadaran Abstract 1 In a bank-dominated financial sector, lending rates play an important role in the transmission of monetary policy. Yet, it is difficult to observe both nominal and real interest rates in the real time. Even ex post computation of effective nominal and real rates is challenging as banks' effecti

Press Release RBI Working Paper Series No. 06 Evidence of Interest Rate Channel of Monetary Policy Transmission in India@Deepak Mohanty * With the development of domestic financial markets and gradual deregulation of interest rates, monetary policy operating procedure in India in the recent years has evolved towards greater reliance on interest rates to signal the stance of monetary policy. This process is buttressed by significant evidence that policy rate changes tr

Press Release RBI Working Paper Series No. 05 Estimation of Capacity Utilisation in Indian Industries: Issues and Challenges@Atri Mukherjee and Rekha Misra Abstract *The estimation of capacity utilisation (CU) derives its significance from the fact that, if properly assessed, it may provide a reliable indication of incipient inflationary pressure in an economy. Measurement of CU is not confined to a unique method and can be measured for an economy, industry or plant t

Press Release RBI Working Paper Series No. 04 Asset Pricing Model for Inefficient Markets: Empirical Evidence from the Indian Market @Debasish Majumder Abstract *In the last decade, the efficient market hypothesis and its validity for emerging markets grew as a fertile topic of debate in finance. However, the dilemma of market efficiency still remains intractable. It is more likely that any literature review in respect of market efficiency would produce contradictory