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

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

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

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

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

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