Press Release RBI Working Paper Series No. 07 Regime-Dependent Determinants of the Uncollateralised Overnight Rate: The Interplay of Operating Procedure and Market Microstructure Edwin Prabu A Indranil Bhattacharyya@ Abstract 1 Efficient central bank liquidity management is premised on closely aligning the inter-bank overnight rate – the operating target of monetary policy – to the policy repo rate. However, sporadic shocks emanating from a host of factors – instituti

Press Release RBI Working Paper Series No. 06 Sourajyoti Sardar, Anirban Sanyal, Tushar B Das@ Abstract 1 Applying latent class analysis to unit-level data from the Consumer Confidence Survey, this paper brings out the heterogeneous impact of the first and the second wave of the COVID-19 pandemic on Indian households in terms of five parameters, namely their current perceptions and assessment of future outlook about economic conditions, employment, price level, income

Press Release RBI Working Paper Series No. 05 Reading Consumers’ Minds: An Analysis of Inflation Expectations Purnima Shaw@ Abstract 1 The heterogeneity in the consumption baskets of households is often deemed responsible for the deviation of households’ inflation expectations from the headline inflation number. A novel approach is proposed in this paper to verify this by simulating heterogeneous population consumption baskets and estimating the mean inflation by samp

Press Release RBI Working Paper Series No. 04 Impact of Foreign Direct Investment on Profitability: Evidence from the Indian Corporate Sector Haridwar Yadav, Vishal Shinde and Samir Kumar Das@ Abstract *The paper empirically assesses the impact of foreign direct investment (FDI) on the capital structure and profitability of Indian companies. Using a multivariate GMM panel regression model and a novel panel data set constructed by taking data from RBI releases on FDI c

Press ReleaseRBI Working Paper Series No. 03 Competitiveness and Determinants of Agricultural Exports: Evidence from India D. Suganthi@ Abstract *The paper examines the relative export competitiveness (REC) of eight agricultural commodities (rice, wheat, maize, gram, groundnut, onion, bovine meat and shrimp) from 1990 to 2020. The findings reveal that India’s export of rice was the most competitive, followed by groundnut, shrimp, gram, onion and bovine meat. The REC

Press Release RBI Working Paper Series No. 02 Tail Risks of Inflation in India Silu Muduli and Himani Shekhar@ Abstract 1This paper estimates the tail risks of consumer price inflation in India using a quantile regression framework. It examines the impact of various domestic and global macroeconomic factors, along with the role of the flexible inflation targeting (FIT) in influencing the inflation tail risks as well as in explaining the shifts in its conditional dist

Press Release RBI Working Paper Series No. 01 Measuring Contagion Effects of Crude Oil Prices on Sectoral Stock Price Indices in India Madhuchhanda Sahoo, Arvind Kumar Shrivastava, Jessica Maria Anthony and Thangzason Sonna@ Abstract 1This paper explores the contagion effects of extreme changes in global crude oil prices on sectoral stock price indices in India. Using generalised Pareto distribution (GPD) for estimating excess returns or exceedances i.e., deviations f

Press Release RBI Working Paper Series No. 14 Monetary Policy Independence under a Flexible Exchange Rate Regime – The Indian Case Harpreet Singh Grewal and Pushpa Trivedi@ Abstract 1The trilemma poses a macroeconomic challenge for policymakers where monetary policy independence, exchange rate stability and capital account openness cannot be achieved simultaneously. While operating with a flexible exchange rate, India intervenes in the foreign exchange market to conta

Press Release RBI Working Paper Series No. 12 Predicting Exchange Rate in India: A Non-parametric Causality-in-Quantiles Approach Seema Jaiswal@ Abstract 1Financial asset prices are widely used for predicting exchange rate movements. This paper examines the relationship between the INR/USD exchange rate and select commodity market and stock market variables using a non-parametric causality-in-quantiles approach. The paper finds that changes in crude oil, gold, stock p

Press Release RBI Working Paper Series No. 13 Is Implied Volatility Index (VIX) a Forward-Looking Indicator of Stock Market Movements in India? Amarendra Acharya, Subrat Kumar Seet and Prakash A. Salvi@ Abstract1 The paper analyses the relationship between the implied volatility index and stock index in the Indian context over a relatively long period and explores whether the former can act as a forward-looking indicator for stock market investments. The findings sugg