Working Papers - आरबीआय - Reserve Bank of India
Working Papers
मे 03, 2024
RBI WPS (DEPR): 04/2024: Assessing the Impact of Macroprudential Policies on Housing Credit Dynamics: Evidence from India
Press Release RBI Working Paper Series No. 04 Assessing the Impact of Macroprudential Policies on Housing Credit Dynamics: Evidence from India Amar Nath Yadav, Vivek Kumar, Alok Kumar Chakrawal and Jyoti Kumari Abstract This paper evaluates the efficacy of macroprudential (MaP) policy in modulating bank credit to the housing sector and its impact on the asset quality of banks in the Indian context. The empirical analysis suggests that a tightening of MaP policy is effective in controlling bank credit to the housing sector. Tightening policies appear to have a greater impact on credit growth than easing policies. Furthermore, a tighter MaP policy complemented with a tighter monetary policy helps in reducing non-performing assets in the housing sector. JEL Classification: C23, E58, G21, G28 Keywords: Macroprudential policies, housing credit, credit risk
मार्च 06, 2024
RBI WPS (DEPR): 02/2024: Drivers of Commercial Paper Rate Spread - An Empirical Assessment
Drivers of Commercial Paper Rate Spread - An Empirical Assessment
Priyanka Priyadarshini, Anshul, Srijashree Sardar, Dipak R. Chaudhari and Sangeeta Das
Abstract
The commercial paper (CP) market provides an avenue for creditworthy firms to raise short-term loans to meet cash flow requirements without providing any collateral. The paper aims to empirically estimate the determinants of the CP rate spread over the T-Bill rate using daily data. The empirical analysis indicates that the volume of CP issuance, liquidity conditions, market risk, share of mutual funds in CP investment and share of NBFCs in the CP issuances impact the CP spread. Episodes of Initial Public Offering (IPO) raise the CP spread.
JEL Classification: G12, G15, G38
Keywords: Commercial paper, GARCH, money market, market liquidity
मार्च 05, 2024
RBI WPS (DEPR): 01/2024: Pricing of Interdealer Derivatives in a Limit Order Market
Press Release
Pricing of Interdealer OTC Derivatives in a Limit Order Market
Vidya Kamate and Abhishek Kumar1
Abstract
Using regulatory interdealer trade-level data on Overnight Indexed Swaps (OIS) in India, the paper examines the trading behaviour and prices in an interdealer market populated by traders of varying liquidity needs. Inactive investors, proxied by traders’ lower level of trading volume in the previous quarter, received a lower return relative to active investors when trading outside a Central Limit Order Book (CLOB) venue market but received relatively better returns on it. This differential return could be attributed to the differing levels of speed preference across investors with active investors being the most impatient or needing the quickest execution. Consistent with extant theoretical literature on speed frictions, active investors preferred trading on CLOB (faster venues). Inactive traders submitted limit orders and faced slower execution whereas active traders submitted market orders and received quicker execution on CLOB. The findings allude to the greater role played by liquidity requirements in a CLOB as opposed to other non-CLOB OTC markets where search and bargaining frictions dominate.
जुलै 05, 2023
RBI WPS (DEPR): 08/2023: Portfolio Flows and Exchange Rate Volatility: An Empirical Estimation for BRICS Countries
Press Release RBI Working Paper Series No. 08 Portfolio Flows and Exchange Rate Volatility: An Empirical Estimation for BRICS Countries Dipak R. Chaudhari, Pushpa Trivedi and Prabhat Kumar@ Abstract * This paper examines whether foreign portfolio flows are responsible for exchange rate volatility in the BRICS economies. Applying the GARCH (1, 1) model to monthly data from January 2000 to July 2021 on exchange rate returns, this paper finds that net portfolio flows in
जुलै 04, 2023
RBI WPS (DEPR): 07/2023: Regime-Dependent Determinants of the Uncollateralised Overnight Rate: The Interplay of Operating Procedure and Market Microstructure
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
एप्रि 24, 2023
RBI WPS (DEPR): 06/2023: Did COVID-19 Affect Households Differently? Understanding Heterogeneity in Consumer Confidence
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
एप्रि 18, 2023
RBI WPS (DEPR): 05/2023: Reading Consumers’ Minds: An Analysis of Inflation Expectations
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
एप्रि 11, 2023
RBI WPS (DEPR): 04/2023: Impact of Foreign Direct Investment on Profitability: Evidence from the Indian Corporate Sector
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
फेब्रु 16, 2023
RBI WPS (DEPR): 03/2023: Competitiveness and Determinants of Agricultural Exports: Evidence from India
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
जाने 12, 2023
RBI WPS (DEPR): 02/2023: Tail Risks of Inflation in India
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
जाने 12, 2023
RBI WPS (DEPR): 01/2023: Measuring Contagion Effects of Crude Oil Prices on Sectoral Stock Price Indices in India
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
सप्टें 21, 2022
RBI WPS (DEPR): 14/2022: Monetary Policy Independence under a Flexible Exchange Rate Regime - The Indian Case
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
सप्टें 19, 2022
RBI WPS (DEPR): 12/2022: Predicting Exchange Rate in India: A Non-Parametric Causality-in-Quantiles Approach
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
सप्टें 19, 2022
RBI WPS (DEPR): 13/2022: Is Implied Volatility Index (VIX) a Forward-Looking Indicator of Stock Market Movements in India?
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
ऑग 12, 2022
RBI WPS (DEPR): 11/2022: SME Exchanges in India: Empirical Analysis of Firm Attributes and IPO Characteristics
Press Release RBI Working Paper Series No. 11 SME Exchanges in India: Empirical Analysis of Firm Attributes and IPO Characteristics Shromona Ganguly@ Abstract 1Using the initial public offering (IPO) data of SME-dedicated exchanges, this study throws light on some of the characteristics of SME exchanges in India in terms of underpricing, aftermarket liquidity and long-run abnormal returns. It was found that firms listed in SME exchanges have higher profitability, liq
ऑग 12, 2022
RBI WPS (DEPR): 10/2022: Monetary Policy Transmission in India under the Base Rate and MCLR Regimes: A Comparative Study
Press Release RBI Working Paper Series No. 10 Monetary Policy Transmission in India under the Base Rate and MCLR Regimes: A Comparative Study Sadhan Kumar Chattopadhyay and Arghya Kusum Mitra@ Abstract*The paper estimates the degree of pass-through of monetary policy to bank lending rates under both the base rate and the marginal cost of funds based lending rate (MCLR) regimes using dynamic panel data regression. Using nine different models for nine individual bank-sp
जुलै 07, 2022
RBI WPS (DEPR): 09/2022: Banks’ Credit and Investment Dynamics: Assessing Portfolio Rebalancing and Crowding-out
Press Release RBI Working Paper Series No. 09 Banks’ Credit and Investment Dynamics: Assessing Portfolio Rebalancing and Crowding-out Sanjay Singh, Garima Wahi and Muneesh Kapur@ Abstract 1 The paper analyses the asset portfolio dynamics of Indian banks with respect to loan growth and investment in government securities. The empirical analysis indicates that weak economic conditions and stressed asset quality encourage banks to increase their investments in government
जुलै 07, 2022
RBI WPS (DEPR): 08/2022: Towards Atma Nirbhar Bharat: An Exploration of Linkages and Leakages
Press Release RBI Working Paper Series No. 08 Towards Atma Nirbhar Bharat: An Exploration of Linkages and Leakages Saurabh Sharma, Ipsita Padhi and Deba Prasad Rath@ Abstract * Countries across the globe have undertaken unprecedented fiscal actions in response to the COVID crisis. India has also announced several rounds of fiscal stimuli under the umbrella scheme of Atma Nirbhar Bharat mission. In this context, it is important that the policy interventions are aligned
मार्च 22, 2022
RBI WPS (DEPR): 06/2022: Saving Banks from a Black Swan: Options and Trade-offs
Press Release RBI Working Paper Series No. 06 Saving Banks from a Black Swan: Options and Trade-offs Saurabh Ghosh, Pawan Gopalakrishnan and Abhishek Ranjan@ Abstract 1In this paper, we analyse the best possible policy responses for banks facing a loan default because of an extreme and rare negative productivity shock. We use a finite-period framework with complete information to analyse the impact of such a shock on an economy with sticky deposit rates and bond yield
मार्च 22, 2022
RBI WPS (DEPR): 07/2022: Concentration, Competition and Soundness of the Banking System in India
Press Release RBI Working Paper Series No. 07 Concentration, Competition and Soundness of the Banking System in India Pradip Bhuyan@ Abstract 1 This paper examined certain important aspects of concentration, competition and soundness of banks during the period from 1994-95 to 2019-20. Herfindahl-Hirschman Index suggested that the banking system in India did not have a high degree of concentration during the study period. Application of the Martinez-Miera and Repullo (
जाने 27, 2022
RBI WPS (DEPR): 05/2022: Quantifying Survey-based Qualitative Responses on Capacity Utilisation - An Analysis for India
Press Release RBI Working Paper Series No. 05 Quantifying Survey-based Qualitative Responses on Capacity Utilisation – An Analysis for India G.P. Samanta and Sayantika Bhowmick@ Abstract *This paper examines the comparative utility of qualitative information collected on capacity utilisation (CU) through the Industrial Outlook Survey (IOS) of the Reserve Bank of India (RBI). The IOS, inter alia, collects two types of qualitative responses on CU: assessment for the sur
जाने 21, 2022
RBI WPS (DEPR): 03/2022: India’s External Commercial Borrowings: Determinants and Optimal Hedge Ratio
Press Release RBI Working Paper Series No. 03 India’s External Commercial Borrowings: Determinants and Optimal Hedge Ratio Ranjeev@ Abstract *This paper examines the determinants of External Commercial Borrowings (ECBs) raised by firms in India and identifies an optimal hedge ratio for the ECBs portfolio. It finds that domestic economic activity and movements in the exchange rate of the Indian rupee are the two major factors influencing the ECBs issuance. Depreciation
जाने 21, 2022
RBI WPS (DEPR): 04/2022: States’ Fiscal Performance and Yield Spreads on Market Borrowings in India
Press Release RBI Working Paper Series No. 04 States’ Fiscal Performance and Yield Spreads on Market Borrowings in India Ramesh Jangili, N.R.V.V.M.K. Rajendra Kumar and Jai Chander@ Abstract*State governments are borrowing significantly from the market to meet their budgetary requirements. As investors are risk-conscious, fiscal fundamentals may impact the yields, and states’ borrowing costs. Indicator-based assessment of the states’ performance is cumbersome, keeping
जाने 11, 2022
RBI WPS (DEPR): 02/2022: Taking Cognisance of Households’ Inflation Expectations in India
Press Release RBI Working Paper Series No. 02 Taking Cognisance of Households’ Inflation Expectations in India Devendra Pratap Singh, Aditya Mishra and Purnima Shaw@ Abstract *The paper studies the characteristics of inflation expectations in developed and emerging market economies. We find that the properties of inflation expectations in India share similarities to those in other economies, such as exhibiting weak rationality (by failing both the unbiasedness and eff
जाने 11, 2022
RBI WPS (DEPR): 01/2022: Stock Price Reaction on the Announcement of Basel Implementation: Evidence from Indian Banks
Press Release RBI Working Paper Series No. 01 Stock Price Reaction on the Announcement of Basel Implementation: Evidence from Indian Banks Gaurav Seth, Supriya Katti and B.V. Phani@ Abstract * The study evaluates the market reaction to the Reserve Bank of India’s policy decisions related to aligning its domestic banking regulations with global Basel capital adequacy norms. Using event study methodology, the study finds that in the initial phase, the Indian banks were
डिसें 16, 2021
RBI WPS (DEPR): 05/2021: Reassessing Investment Dynamics - Newer Insights into Leverage and Investment of the Indian Corporate Sector
Press Release RBI Working Paper Series No. 05 Reassessing Investment Dynamics – Newer Insights into Leverage and Investment of the Indian Corporate Sector Deba Prasad Rath and Sujeesh Kumar@ Abstract * Given the criticality of investment in achieving durable growth in the context of ongoing subdued investment, globally as well as in India, this paper revisits investment dynamics in India from the standpoint of the ‘augmented accelerator’ hypothesis and examines whethe
डिसें 16, 2021
RBI WPS (DEPR): 06/2021: An Alternative Perspective on Demand and Supply to Forecast Inflation
Press Release RBI Working Paper Series No. 06 An Alternative Perspective on Demand and Supply to Forecast Inflation Saurabh Sharma and Ipsita Padhi@ Abstract *Measuring macroeconomic demand and supply is important for a variety of reasons and is especially useful for gauging inflationary pressures. In this context, this paper departs from the standard Blanchard-Quah technique and proposes a novel identification strategy to extricate demand-supply from the business cyc
ऑग 11, 2021
RBI WPS (DEPR): 04/2021: Does Offshore NDF Market Influence Onshore Forex Market? Evidence from India
Press Release RBI Working Paper Series No. 04 Does Offshore NDF Market Influence Onshore Forex Market? Evidence from IndiaHarendra Behera, Rajiv Ranjan and Sajjid Chinoy@ Abstract*The paper uses a VECM-MGARCH approach to examine the interrelationship between onshore and offshore NDF markets for the Indian Rupee in view of price discovery, mean and volatility spillovers. The empirical results suggest a stable long-run relationship between onshore and NDF markets with p
जाने 25, 2021
RBI WPS (DEPR): 03/2021: Monetary Policy Transparency and Anchoring of Inflation Expectations in India
Press Release RBI Working Paper Series No. 03 Monetary Policy Transparency and Anchoring of Inflation Expectations in India G. P. Samanta and Shweta Kumari@ Abstract * This study provides a measure of the degree of monetary policy transparency in India using text-mining techniques and, examines the impact of transparency on anchoring of inflation expectations. Inflation expectations are sourced from two RBI surveys - Survey of Professional Forecasters and Survey of In
जाने 25, 2021
RBI WPS (DEPR): 02/2021: Regional Economic Convergence in the Manufacturing Sector: An Empirical Reflection
Press Release RBI Working Paper Series No. 02 Regional Economic Convergence in the Manufacturing Sector: An Empirical Reflection Madhuresh Kumar@ Abstract 1 This paper uses data on registered manufacturing from the Annual Survey of Industries (ASI) for the post global financial crisis period (2008-09 to 2017-18) and examines the convergence pattern of 21 major states in India and their key drivers. While poorer states are found to have exhibited convergence to the m
जाने 05, 2021
RBI WPS (DEPR): 01/2021: Monetary Policy Transmission in India: New Evidence from Firm-Bank Matched Data
Press Release RBI Working Paper Series No. 01 Monetary Policy Transmission in India: New Evidence from Firm-Bank Matched Data Saurabh Ghosh, Abhinav Narayanan and Pranav Garg@ Abstract *This paper uses a unique firm-bank matched data set for India to provide new insights into the monetary policy transmission mechanism. We first show that monetary policy transmission works with a lag when we focus on bank credit and balance sheet items of firms. An assessment of the bank
डिसें 28, 2020
RBI WPS (DEPR): 15/2020: Measuring Trend Inflation in India
Press Release RBI Working Paper Series No. 15 Measuring Trend Inflation in India Harendra Kumar Behera and Michael Debabrata Patra@ Abstract *Central to monetary policy is the concept of trend inflation to which actual inflation outcomes are expected to converge after short run fluctuations die out. Accordingly, the inflation target needs to be fixed in alignment with trend inflation to avoid unhinging inflation expectations and flattening the aggregate supply curve
डिसें 15, 2020
RBI WPS (DEPR): 14/2020: Asset Quality and Credit Channel of Monetary Policy Transmission in India: Some Evidence from Bank-level Data
Press Release RBI Working Paper Series No. 14 Asset Quality and Credit Channel of Monetary Policy Transmission in India: Some Evidence from Bank-level Data Janak Raj, Deba Prasad Rath, Pratik Mitra and Joice John@ Abstract 1This paper evaluates the impact of asset quality of scheduled commercial banks in India on the credit channel of monetary policy. The study finds that a robust credit channel of monetary transmission exists in India. Its efficacy, however, is impa
डिसें 15, 2020
RBI WPS (DEPR): 13/2020: Price Discrimination in Over-the-Counter Currency Derivatives
Press Release RBI Working Paper Series No. 13 Price Discrimination in Over-the-Counter Currency Derivatives ΨAbhishek Kumar and Vidya Kamate Abstract *This paper provides empirical evidence on the presence of considerable price discrimination in the Indian over-the-counter (OTC) currency derivatives market through an analysis of transaction level data. The average markup paid on USD/INR forward contracts declines with an increase in the level of sophistication of clie
ऑक्टो 16, 2020
RBI WPS (DEPR): 12/2020: Bank Capital and Monetary Policy Transmission in India
Press Release RBI Working Paper Series No. 12 Bank Capital and Monetary Policy Transmission in India Silu Muduli and Harendra Behera@ Abstract *This paper examines the role of bank capital in monetary policy transmission in India during the post-global financial crisis period. Empirical results show that banks with higher capital to risk-weighted assets ratio (CRAR) raise funds at a lower cost. Additionally, banks with higher CRAR transmit monetary policy impulses smo
सप्टें 24, 2020
RBI WPS (DEPR): 11/2020: Inflation Forecast Combinations - The Indian Experience
Press Release RBI Working Paper Series No. 11 Inflation Forecast Combinations – The Indian Experience Joice John*, Sanjay Singh and Muneesh Kapur@ Abstract 1 Accurate, reliable and unbiased forecasts of inflation are critical for the monetary policy decision making process, more so for a flexible inflation targeting central bank. Inflation forecasting is, however, turning challenging across countries. This paper explores the merits of forecast combination approaches f
सप्टें 23, 2020
RBI WPS (DEPR): 10/2020: Are Food Prices Really Flexible? Evidence from India
Press Release RBI Working Paper Series No. 10 Are Food Prices Really Flexible? Evidence from IndiaGV Nadhanael* Abstract@This paper revisits the notion of flexibility of food prices by compiling a novel micro level dataset for India. It shows that food prices in India exhibit varying degrees of price stickiness across product groups. Furthermore, the price setting behaviour broadly matches predictions of sticky price models with menu cost. Model calibration shows that
सप्टें 22, 2020
RBI WPS (DEPR): 09/2020: Measuring Financial Stress in India
Press Release RBI Working Paper Series No. 09 Measuring Financial Stress in India @Manjusha Senapati Rajesh Kavediya Abstract 1This paper focuses on the construction of financial stress indices for the Indian financial system using market-based indicators and three different aggregation methods. The paper finds that these indices provide useful information, which is not captured by the market indicators, on the stress build-up in the financial system. The financial st
जुलै 02, 2020
RBI WPS (DEPR): 08/2020: Subnational Government Debt Sustainability in India: An Empirical Analysis
Press Release RBI Working Paper Series No. 08 Subnational Government DebtSustainability in India:An Empirical Analysis @Sangita Misra Kirti Gupta Pushpa Trivedi Abstract *Recognising the increasing precedence of fiscal shocks leading to a deterioration in states’ debt due to the realisation of contingent liabilities, this study assesses the debt sustainability of Indian states by employing both conventional debt and augmented debt, obtained by incorporating informatio
जुलै 01, 2020
RBI WPS (DEPR): 07/2020: Impact of Leverage on Firms’ Investment: Decoding the Indian Experience
Press Release RBI Working Paper Series No. 07 Impact of Leverage on Firms’ Investment: Decoding the Indian Experience @Avdhesh Kumar Shukla and Tara Shankar Shaw Abstract 1It has been observed in India that economic growth cycle coincides with the investment cycle. We find that firm-level leverage could provide early signals about the movements in the investment cycle. Furthermore, a firm’s leverage adversely affects its investment activity after a threshold. Regressi
मे 14, 2020
RBI WPS (DEPR): 06/2020: Liquidity Shocks and Overnight Interest Rates in Emerging Markets: Evidence from GARCH Models for India
Press Release RBI Working Paper Series No. 06 Liquidity Shocks and Overnight Interest Rates in Emerging Markets: Evidence from GARCH Models for India @Bhupal Singh Abstract *This paper examines the role of key frictional and structural liquidity shocks in shaping the movement in call money rates and the pattern of volatility. Using Generalized Autoregressive Conditional Heteroscedasticity models, this study finds that both structural and frictional liquidity shocks ar
मे 12, 2020
RBI WPS (DEPR): 05/2020: Core Inflation Measures in India - An Empirical Evaluation using CPI Data
Press Release RBI Working Paper Series No. 05 Core Inflation Measures in India – An Empirical Evaluation using CPI Data @Janak Raj, Sangita Misra, Asish Thomas George and Joice John Abstract *An appropriate measure of core inflation provides a useful guide for monetary policy. This study analysed eleven candidates of core inflation measure in India, based on Consumer Price Index for the period from January 2012 to September 2019 for assessing their suitability as meas
मार्च 17, 2020
RBI WPS (DEPR): 04/2020: Macroeconomic Effects of Uncertainty: A Big Data Analysis for India (Revised)
Press Release RBI Working Paper Series No. 04 Macroeconomic Effects of Uncertainty: A Big Data Analysis for India @Nalin Priyaranjan and Bhanu Pratap Abstract * Uncertainty about the current state and near-term outlook of an economy as well as the likely course of future policy actions can prompt economic agents to alter their decisions to spend, save, invest and hire. In this paper, we construct three alternative indices to measure the level of uncertainty for the In
फेब्रु 25, 2020
RBI WPS (DEPR): 03/2020: Nowcasting Indian GDP growth using a Dynamic Factor Model
Press ReleaseRBI Working Paper Series No. 03 Nowcasting Indian GDP growth using a Dynamic Factor Model @Soumya Bhadury Saurabh Ghosh Pankaj Kumar Abstract 1In India, the first official estimate of quarterly GDP is released approximately 7-8 weeks after the end of the reference quarter. To provide an early estimate of current quarter GDP growth, we construct single-index dynamic factors (DFs) using a sequentially expanding list of 6, 9 and 12 high-frequency indicators.
जाने 31, 2020
RBI WPS (DEPR): 02/2020: Construction of Bivariate Fan Chart from Joint Distribution
Press Release RBI Working Paper Series No. 02 Construction of Bivariate Fan Chart from Joint Distribution Purnima Shaw@ Abstract 1A fan chart, which depicts uncertainties in projections of macroeconomic variables, is presently limited to univariate framework. However, to illustrate the uncertainties in forecasts of two mutually dependent variables, a bivariate framework is required. Using a joint distribution of two related variables, this paper proposes a theory for
जाने 02, 2020
RBI WPS (DEPR): 01/2020: Exchange Rate Pass-through in Emerging Economies
Press Release RBI Working Paper Series No. 01 Exchange Rate Pass-through in Emerging Economies @Michael Debabrata Patra, Jeevan Kumar Khundrakpam and Joice John Abstract 1This paper provides updated estimates of exchange rate pass through (ERPT) for 17 emerging market economies (EMEs) that constitute around 75 per cent of total EME output. These estimates are robust with respect to methodological biases encountered in the literature. Average ERPT to consumer inflation
डिसें 31, 2019
RBI WPS (DEPR): 06/2019: Robust Wald-type Test Statistics based on Minimum C-divergence Estimators
Press Release RBI Working Paper Series No. 06 Robust Wald-type Test Statistics based on Minimum C-divergence Estimators @Avijit Maji Leandro Pardo Abstract *Recently introduced C-divergence estimators as well as the associated test statis-tics have shown a good robustness behavior. However, one shortcoming of these test statistics is that their asymptotic distribution, in general, is not a chi-square distri-bution but a linear combination of chi-square distributions.
डिसें 30, 2019
RBI WPS (DEPR): 05/2019: Term Premium Spillover from the US to Indian Markets
Press Release RBI Working Paper Series No. 05 Term Premium Spillover from the US to Indian Markets Archana Dilip* Abstract #The paper estimates and analyses term premium in India and makes an assessment of the interconnectedness and transmission of shocks from the US term structure of sovereign bond yields to that of India. The term premium is estimated by decomposing the yield into two components – risk-neutral rate which reflects expectations of future short-term ra
सप्टें 03, 2019
RBI WPS (DEPR): 04/2019: Macroeconomic Forecasting in India: Does Machine Learning Hold the Key to Better Forecasts?
Press Release RBI Working Paper Series No. 04 Macroeconomic Forecasting in India:Does Machine Learning Hold the Key to Better Forecasts?Bhanu Pratap, Shovon Sengupta* Abstract#Forecasting of macroeconomic indicators is a challenging task, compounded by complex processes and dynamic nature of the macroeconomy. With recent advancements in computing power and the advent of data, machine learning methods have been explored as an alternative to traditional forecasting meth
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पेज अंतिम अपडेट तारीख: मे 06, 2024
