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Working Papers

Aug 04, 2011
RBI WPS (DEPR): 09/2011: Treatment of Valuables as Capital Formation in India: Some Issues and Perspectives
Rakesh Kumar
RBI Working Paper Series No. 09Treatment of Valuables as Capital Formation in India: Some Issues and Perspectives @Rakesh Kumar Abstract † As per UNSNA recommendations, valuables as a separate item had been introduced in the expenditure side of GDP. Since India is one of largest importer and user of gold for various purposes, this treatment resulted into higher share of valuables in capital formation in the economy. Moreover, from conceptual aspect, these valuables a
May 31, 2011
RBI WPS (DEPR): 06/2011: The Velocity Crowding-out Impact: Why high money growth is not always inflationary
Sitikantha Pattanaik and Subhadhra, S
RBI Working Paper Series No. 06 The Velocity Crowding-out Impact: Why high money growth is not always inflationary @Sitikantha PattanaikSubhadhra S Abstract: In the mainstream monetary policy consensus that prevailed prior to the global crisis, there was increasing de-emphasis on money and credit aggregates in the conduct of monetary policy, because of the overwhelming faith on the interest rate, both as an instrument of policy and as an indicator of overall monetary
May 31, 2011
RBI WPS (DEPR): 07/2011: Sensitivity of Capital Flows to Interest Rate Differentials: An Empirical Assessment for India
Radheshyam Verma and Anand Prakash
RBI Working Paper Series No. 07 Sensitivity of Capital Flows to Interest Rate Differentials: An Empirical Assessment for India @Radheshyam Verma and Anand Prakash *In the aftermath of the global financial crisis, multi-speed recovery and divergent inflationary trends have led to asymmetric monetary exit between Emerging Market Economies (EMEs) and the advanced economies. An outcome of this process has been return of excessive capital flows to EMEs, exerting pressure o
May 31, 2011
RBI WPS (DEPR): 05/2011: Fan Chart: Methodology and its Application to Inflation Forecasting in India
Nivedita Banerjee and Abhiman Das
RBI Working Paper Series No. 05 Fan Chart: Methodology and its Application to Inflation Forecasting in India @Nivedita Banerjee (Email) and Abhiman Das (Email) Abstract 1Ever since Bank of England first published its inflation forecasts in February 1996, the Fan Chart has been an integral part of inflation reports of central banks around the world. The Fan Chart is basically used to improve presentation: to focus attention on the whole of the forecast distribution, ra
May 02, 2011
RBI WPS (DEPR): 03/2011: Real Time Business Conditions Index : A Statistically Optimal Framework for India
Dipankar Biswas, Nivedita Banerjee and Abhiman Das
RBI Working Paper Series No. 03 Real Time Business Conditions Index : A Statistically Optimal Framework for India@Dipankar Biswas (E-mail) Nivedita Banerjee (E-mail) and Abhiman Das (E-mail) Abstract *The state of the real economy evolves in a continuous fashion. Economic agents and policy makers, while making decisions in real time, require accurate and timely understanding of the state of real activity. In the light of the changing nature of the economy where incre
May 02, 2011
RBI WPS (DEPR): 04/2011 : Estimation of Portfolio Value at Risk using Copula
Indrajit Roy
RBI Working Paper Series No. 04 Estimation of Portfolio Value at Risk using Copula@Indrajit Roy Abstract: *In this paper we use high-frequency multivariate data and attempt to model the joint distribution (dependence structure) of daily exchange rate returns of four major foreign currencies (USD, EURO, GBP and Swiss-Franc) against Indian rupees mainly in the copula-GARCH framework. We also compute 1-day, 99% portfolio Value at Risk (VaR) using Monte Carlo simulation
Apr 01, 2011
RBI WPS (DEPR): 02/2011: The Implications of Renminbi Revaluation On India’s Trade - A Study
S. Arunachalaramanan and Ramesh Golait
Press Release RBI Working Paper Series No. 02 The Implications of Renminbi Revaluation On India’s Trade - A Study @S. Arunachalaramanan and Ramesh Golait Abstract 1The Yuan exchange rate (RMB) has been a moot point in the relations between China and other trading partners from emerging and developed countries, some of whom have directly and indirectly highlighted the impact on their trade in general and exports in particular due to revaluation of RMB. In the Indian
Apr 01, 2011
RBI WPS (DEPR): 01/2011: An Empirical Analysis of The Relationship Between Currency Futures And Exchange Rates Volatility In India
Somnath Sharma
Press Release RBI Working Paper Series No. 01 An Empirical Analysis of The Relationship Between Currency Futures And Exchange Rates Volatility In India @Somnath Sharma Abstract 1India moved away from pegged exchange rate to the Liberalized Exchange Rate Management System (LERMS) in 1992 and the market determined exchange rate regime in 1993 which is considered as an important structural change in the exchange rate market. With increased volatility in exchange rate

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