Press Release RBI Working Paper Series No. 03 Rural Wage Dynamics in India: What Role does Inflation Play? @Sujata Kundu Abstract 1This paper studies the relationship between rural wage growth and inflation in India to assess the risk of a wage-price spiral to the inflation trajectory. The results of a cointegration and Vector Error Correction Model (VECM) show that in the long-run both nominal agricultural wages and non-agricultural wages exhibit statistically signif

Press Release RBI Working Paper Series No. 02 Non-Linear, Asymmetric and Time-Varying Exchange Rate Pass-Through: Recent Evidence from India @Michael Debabrata Patra Jeevan Kumar Khundrakpam andJoice John Abstract Exploring nonlinearities and time variations in exchange rate pass-through (ERPT) to consumer prices in India for the period from April 2005 to March 2016, this paper finds ERPT is asymmetric with pass-through from small depreciations being the strongest. ER

Press Release RBI Working Paper Series No. 01 Operating Performance of Initial Public Offering Firms after Issue in India – A Revisit @Avdhesh Kumar Shukla and Tara Shankar Shaw Abstract *The paper examines how the operating performance of the Indian firms changed after their initial public offerings. It is found that the operating performance does not deteriorate post IPOs, if a performance indicator like “profit” is normalised by sales volumes (i.e., return on sales

Press Release RBI Working Paper Series No. 08 Phillips Curve Relationship in India: Evidence from State-Level Analysis @Harendra Behera Garima Wahi and Muneesh Kapur Abstract 1This paper revisits the issue of determinants of inflation in India in a Phillips curve framework and makes two key contributions in relation to existing studies. First, in the context of the Reserve Bank moving towards a flexible inflation targeting framework based on consumer price index (CPI)

Press Release RBI Working Paper Series No. 07 What Explains Call Money Rate Spread in India? @Sunil Kumar Anand Prakash Krishna M Kushawaha Abstract 1The study focuses on various drivers of overnight inter-bank rate spread under the new liquidity management framework during July 2013 to December 2016. Applying OLS with Newey-West estimator and various GARCH models to daily data, the study finds that liquidity conditions, viz., deficit, distribution and uncertainty imp

Press Release RBI Working Paper Series No. 06 Risk-weighting under Standardised Approach of Computation of Capital for Credit Risk in Basel Framework – An Analysis of Default Experience of Credit Rating Agencies in India @Ajay Kumar Choudhary B Nethaji Anirban Basu Abstract 1All scheduled commercial banks in India currently follow the Standardised Approach of computation of capital for credit risk under Basel framework for calculation of regulatory capital requirement

Press Release RBI Working Paper Series No. 05 Comparison of Consumer and Wholesale Prices Indices in India: An Analysis of Properties and Sources of Divergence @Praggya Das and Asish Thomas George Abstract ♣ A key feature of the inflationary process during 2015-16 was the large divergence in the Consumer Price Index (CPI) and Wholesale Price Index (WPI) inflation. The CPI-WPI divergence resulted in considerable debate amongst policy makers and academia on its causes a

Press Release RBI Working Paper Series No. 04 Corporate Leverage in EMEs: Has the Global Financial Crisis Changed the Determinants? @Snehal S. Herwadkar Abstract 1Has the global financial crisis changed the pivotal determinants of corporate leverage in EMEs? This paper attempts to address this issue using a panel-GMM framework and quantile-analysis for 10 major EMEs. Analysing 19-year database covering the period 1996-2014, the study finds that enabling conditions in

Press Release RBI Working Paper Series No. 03 A Measure of Finance-Neutral Output Gap for India @Deba Prasad Rath, Pratik Mitra and Joice John Abstract 1In the Indian context, the present literature on estimation of potential output - the level of output that an economy can produce sustainably over the medium term - is based on an understanding that sustainability is characterised as output consistent with low and stable inflation. However, there are episodes when eco

Press Release RBI Working Paper Series No. 02 The Unintended Side Effects of Basel III Liquidity Regulations on the Operating Target of Monetary Policy @Sitikantha Pattanaik Rajesh Kavediya Angshuman Hait Abstract 1The implementation of Basel III liquidity regulations entails unintended ramifications for the unsecured segment of the money market, and therefore for the operating target of monetary policy. Empirical estimates from a dynamic panel model suggest that unde