Working Papers - RBI - Reserve Bank of India
Working Papers
May 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
Mar 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
Mar 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.
Jul 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
Jul 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
Apr 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
Apr 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
Apr 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
Feb 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
Jan 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
Jan 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
Sep 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
Sep 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
Sep 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
Aug 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
Aug 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
Jul 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
Jul 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
Mar 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
Mar 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 (
Jan 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
Jan 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
Jan 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
Jan 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
Jan 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
Dec 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
Dec 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
Aug 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
Jan 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
Jan 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
Jan 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
Dec 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
Dec 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
Dec 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
Oct 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
Sep 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
Sep 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
Sep 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
Jul 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
Jul 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
May 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
May 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
Mar 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
Feb 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.
Jan 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
Jan 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
Dec 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.
Dec 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
Sep 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
Jul 03, 2019
RBI WPS (DEPR): 03/2019: Does Financial Cycle Exist in India?
Press Release RBI Working Paper Series No. 03 Does Financial Cycle Exist in India? @Harendra Behera, Saurabh Sharma Abstract #The paper tries to identify the existence of financial cycle in India by examining its main characteristics. Using three distinct methods – turning point analysis, spectral analysis and band-pass filter – and quarterly data on credit, equity prices, house prices and real exchange rate for the period 1960:Q1 through 2018:Q4, the cyclical propert
May 08, 2019
RBI WPS (DEPR): 02/2019: Cross-border Trade Credit: A Post- Crisis Empirical Analysis for India
Press Release RBI Working Paper Series No. 02 Cross-border Trade Credit: A Post-Crisis Empirical Analysis for India @Rajeev Jain, Dhirendra Gajbhiye and Soumasree Tewari Abstract *The paper profiles trade credit extended by domestic and foreign banks to Indian importers, focusing on its size, composition and cost pattern. Using a panel data of 55 banks for 2007-08:Q1 to 2016-17:Q4, the paper finds that both demand and supply-side factors influence the flow of trade c
Feb 28, 2019
RBI WPS (DEPR): 01/2019: Inflation Expectations of Households: Do They Influence Wage-Price Dynamics in India?
Press Release RBI Working Paper Series No. 01 Inflation Expectations of Households: Do They Influence Wage-Price Dynamics in India? @Sitikantha Pattanaik, Silu Muduli and Soumyajit Ray Abstract 1This paper examines the usefulness of survey-based information on inflation expectations of households in the analysis of inflation dynamics in India. As household inflation expectations do not satisfy the statistical properties of rationality and unbiasedness, hybrid versions
Dec 13, 2018
RBI WPS (DEPR): 06/2018: Measuring Financial Capability of the Street Vendors
Press Release RBI Working Paper Series No. 06 Measuring Financial Capability of the Street Vendors @D.V. Ramana and Silu Muduli Abstract 1Financial capability of an individual is the ability to use and manage financial products for current and future financial needs with adequate financial knowledge. This paper examines financial capability on four dimensions- financial management to meet current needs, future financial planning, financial products management, and fin
Oct 16, 2018
RBI WPS (DEPR): 05/2018: India’s Investment Cycle: An Empirical Investigation
Press Release RBI Working Paper Series No. 05 India’s Investment Cycle: An Empirical Investigation @Janak Raj Satyananda Sahoo and Shiv Shankar Abstract 1This study estimates the duration of the investment cycle and examines the determinants of investment activity in India. Using the National Bureau of Economic Research (NBER) dating procedure, the study finds that the real investment rate in India followed a three-year cycle during the period from 1950-51 to 2017-18
Jul 26, 2018
RBI WPS (DEPR): 04/2018 : Economic Activity and its Determinants: A Panel Analysis of Indian States
Press Release RBI Working Paper Series No. 04 Economic Activity and its Determinants: A Panel Analysis of Indian States @Garima Wahi and Muneesh Kapur Abstract 1This paper assesses the impact of both monetary and fiscal policy along with other macroeconomic determinants on economic activity using state-level Indian data. Since economic activity can vary across states due to local factors and state government policies, a state-level empirical analysis, by providing mor
Apr 25, 2018
RBI WPS (DEPR): 03/2018 : Rural Wage Dynamics in India: What Role does Inflation Play?
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
Mar 13, 2018
RBI WPS (DEPR): 02/2018 : Non-Linear, Asymmetric and Time-Varying Exchange Rate Pass-Through: Recent Evidence from India
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
Mar 06, 2018
RBI WPS (DEPR): 01/2018 : Operating Performance of Initial Public Offering Firms after Issue in India - A Revisit
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
Jul 03, 2017
RBI WPS (DEPR): 08/2017: Phillips Curve Relationship in India: Evidence from State-Level Analysis
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)
Apr 10, 2017
RBI WPS (DEPR): 07/2017: What Explains Call Money Rate Spread in India?
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
Apr 05, 2017
RBI WPS (DEPR): 06/2017: 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
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
Mar 24, 2017
RBI WPS (DEPR): 05/2017: Comparison of Consumer and Wholesale Prices Indices in India: An Analysis of Properties and Sources of Divergence
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
Mar 15, 2017
RBI WPS (DEPR): 04/2017: Corporate Leverage in EMEs: Has the Global Financial Crisis Changed the Determinants?
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
Feb 22, 2017
RBI WPS (DEPR): 03/2017: A Measure of Finance-Neutral Output Gap for India
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
Feb 22, 2017
RBI WPS (DEPR): 02/2017: The Unintended Side Effects of Basel III Liquidity Regulations on the Operating Target of Monetary Policy
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
Jan 11, 2017
RBI WPS (DEPR): 01/2017: How Asset Prices Interact with Bank Credit and Monetary Policy? Evidence from Emerging Market and Developing Economies
Press Release RBI Working Paper Series No. 01 How Asset Prices Interact with Bank Credit and Monetary Policy? Evidence from Emerging Market and Developing Economies @Bhupal Singh and Avadhoot R. Nadkarni Abstract *The central hypothesis examined in this paper is whether credit shocks are more dominant in affecting asset prices vis-a-vis monetary policy shocks. The paper examines interaction of equity and house prices with macroeconomic factors using a panel VAR fra
Dec 26, 2016
RBI WPS (DEPR): 10/2016 : Modelling Corporate Sector Distress in India
Press Release RBI Working Paper Series No. 10 Modelling Corporate Sector Distress in India @Manjusha Senapati and Saptarshi Ghosal Abstract 1The paper attempts to formulate a model to predict corporate financial distress of non-government non-financial public limited companies and estimate distressed bank debt due to the sample companies for the period 2006-07 to 2013-14. The model estimates probability of a company being financially distressed in the following year u
Dec 14, 2016
RBI WPS (DEPR): 09/2016: Bank Lending and Loan Quality: The Case of India
Press Release RBI Working Paper Series No. 09 Bank Lending and Loan Quality: The Case of India@Pallavi Chavan and Leonardo Gambacorta Abstract *This paper analyses how non-performing loans (NPLs) of Indian banks behave through the cycle. We find that a one-percentage point increase in loan growth is associated with an increase in NPLs over total advances (NPL ratio) of 4.3 per cent in the long run with the response being higher during expansionary phases. Furthermore,
Nov 25, 2016
RBI WPS (DEPR): 08/2016 : Quarterly Projection Model for India: Key Elements and Properties
Press Release RBI Working Paper Series No. 08 Quarterly Projection Model for India: Key Elements and Properties @Jaromir Benes, Kevin Clinton, Asish Thomas George, Pranav Gupta, Joice John, Ondra Kamenik, Douglas Laxton, Pratik Mitra, G.V. Nadhanael, Rafael Portillo, Hou Wang and Fan Zhang Abstract 1This paper outlines the key features of the production version of the quarterly projection model (QPM), which is a forward looking open economy gap model, calibrated to re
Nov 25, 2016
RBI WPS (DEPR): 07/2016: Inflation-Forecast Targeting For India: An Outline of the Analytical Framework
Press Release RBI Working Paper Series No. 07 Inflation-Forecast Targeting For India: An Outline of the Analytical Framework @Jaromir Benes, Kevin Clinton, Asish Thomas George, Joice John, Ondra Kamenik, Douglas Laxton, Pratik Mitra, G.V. Nadhanael, Hou Wang and Fan Zhang Abstract 1India formally adopted flexible-inflation targeting (FIT) in June 2016 to place price stability, defined in terms of a target CPI inflation, as the primary objective of the monetary poli
Apr 28, 2016
RBI WPS (DEPR): 06/2016: Measurement of Central Bank Output - Methodological Issues for India
Press Release RBI Working Paper Series No. 06 Measurement of Central Bank Output– Methodological Issues for India @P. Bhuyan Abstract The paper deliberates on methodological issues relating to the measurement of central bank output in Indian context. CSO classified RBI output as non-market in the new series of GDP with 2011-12 as base due to non-availability of disaggregated account for RBI services. Cost approach as per SNA 2008 was adopted to measure the output of R
Apr 21, 2016
RBI WPS (DEPR): 05/2016 : India’s Potential Output Revisited
Press Release RBI Working Paper Series No. 05 India’s Potential Output Revisited @Barendra Kumar Bhoi and Harendra Kumar Behera Abstract *Estimates of potential output have been revised downward across countries in the post-crisis period. In India, the debate on potential GDP and output gap has been intensified due to revision in the GDP estimates with change in base year and its underlying methodology consistent with international best practices. In view of these, an
Mar 28, 2016
RBI WPS (DEPR): 04/2016: Rules of the Monetary Game
Press Release RBI Working Paper Series No. 4Rules of the Monetary Game @Prachi Mishra and Raghuram Rajan March 2016 Abstract Aggressive monetary policy actions by one country can lead to significant adverse cross-border spillovers on others, especially as countries contend with the zero lower bound. If countries do not internalize these spillovers, they may undertake policies that are collectively suboptimal. Perhaps instead, countries could agree to guidelines for r
Feb 26, 2016
RBI WPS (DEPR): 03/2016 : Global Spillovers and Monetary Policy Transmission in India
Press Release RBI Working Paper Series No. 03 Global Spillovers and Monetary Policy Transmission in India @Michael Debabrata Patra, Sitikantha Pattanaik, Joice John and Harendra Kumar Behera Abstract Do global spillovers clog transmission channels of monetary policy through domestic financial markets? Drawing on stylised facts and using a dynamic factor model to develop an indicator of global spillovers (IGS), a time-varying parameter vector autoregression (TVP-VAR)
Feb 17, 2016
RBI WPS (DEPR): 02/2016: Implications of MGNREGS on Labour Market, Wages and Consumption Expenditure in Kerala
Press Release RBI Working Paper Series No. 02 Implications of MGNREGS on Labour Market, Wages and Consumption Expenditure in Kerala@V. Dhanya Abstract 1This paper makes an attempt to evaluate the implications of MGNREGS in labour short economy of Kerala. The analysis of NSSO unit level data revealed inter-state differences in implementation of the scheme with North-Eastern and Southern states performing better than its counterparts. The primary data analysis showed th
Dec 18, 2015
RBI WPS (DEPR): 06/2015 : Capital Structure, Ownership and Crisis: How Different Are Banks?
Press Release RBI Working Paper Series No. 06 Capital Structure, Ownership and Crisis: How Different Are Banks? @Saibal Ghosh and Goutam Chatterjee Abstract 1Employing data for 1992-2012, the article examines the factors affecting the capital structure of publicly listed Indian banks from a corporate finance perspective and compares the findings by exploiting a comparable sample of largest (based on their average market capitalization of last three years) non-financia
Oct 14, 2015
RBI WPS (DEPR): 05/2015 : Natural Interest Rate: Assessing the Stance of India’s Monetary Policy under Uncertainty
Press Release RBI Working Paper Series No. 05 Natural Interest Rate: Assessing the Stance of India’s Monetary Policy under Uncertainty @Harendra Kumar Behera, Sitikantha Pattanaik and Rajesh Kavediya Abstract *The constant natural interest rate assumption implicit in Taylor type feedback rules to assess the stance of monetary policy could be misleading at times, particularly because of the time- varying nature of the natural interest rate. Literature suggests that na
Aug 17, 2015
RBI WPS (DEPR): 04/2015: Is Exchange Rate The Dominant Factor Influencing Corporate Profitability in India?
Press Release RBI Working Paper Series No. 04 Is Exchange Rate The Dominant Factor Influencing Corporate Profitability in India? @Shaoni Nandi, Debasish Majumder and Anujit Mitra Abstract 1 Profitability of the non-financial private corporates is one of the key indicators of the macroeconomic activities and financial health of a nation. In India, list of major factors influencing profitability has altered over time. In particular, the gradual opening up of the econo
Aug 14, 2015
RBI WPS (DEPR): 03/2015: Inter-sectoral Linkages in the Indian Economy
Press Release RBI Working Paper Series No. 03 Inter-sectoral Linkages in the Indian Economy @Rajib Das, Binod B. Bhoi, Pankaj Kumar and Krittika Banerjee Abstract 1The paper develops a series of structural equations outlining relations within and across sectors of the macro-economy in India. The economy is conceived as a network of five sectors, the output (GDP and its components), prices (WPI and its components), monetary (money supply and interest rates), governme
Aug 10, 2015
RBI WPS (DEPR): 02/2015: Public Debt Management in India and Related Issues
Press Release RBI Working Paper Series No. 02 Public Debt Management in India and Related Issues @L. Lakshmanan & R. Kausaliya Abstract *The public debt management in India has clearly traversed from a passive system to a market driven process with developed institutions, instruments, widespread investors, intermediaries for market making and efficient market infrastructure. Towards the PDM objective of minimising the cost of borrowing over the medium to longer t
Jun 11, 2015
RBI WPS (DEPR): 01/2015: Estimating Sacrifice Ratio for Indian Economy - A Time Varying Perspective
Press Release RBI Working Paper Series No. 01 Estimating Sacrifice Ratio for Indian Economy – A Time Varying Perspective @Pratik Mitra, Dipankar Biswas and Anirban Sanyal Abstract *This paper estimates sacrifice ratios for the post liberalization period for India. ‘Sacrifice Ratio’ is defined as the loss of output sustained by the economy to achieve reduction in the long-run inflation by one percentage point. Deriving sacrifice ratio by estimating Aggregate Supply Cur
Dec 26, 2014
RBI WPS (DEPR): 11/2014: Forecasting Major Macroeconomic Variables in India - Performance Comparison of Linear, Non-linear Models and Forecast Combinations
Press Release RBI Working Paper Series No. 11 Forecasting Major Macroeconomic Variables in India – Performance Comparison of Linear, Non-linear Models and Forecast Combinations @Anirban Sanyal and Indrajit Roy Abstract 1 This paper adopts linear, non-linear time series models along with forecast combination (of linear and non-linear) for forecasting major macroeconomic variables (Monthly series of Index of Industrial production –IIP and quarterly series of GDP) in res
Oct 13, 2014
RBI WPS (DEPR): 10/2014: Analytics of Food Inflation in India
Press Release RBI Working Paper Series No. 10 Analytics of Food Inflation in India @Thangzason Sonna, Dr. Himanshu Joshi, Alice Sebastian and Upasana Sharma Abstract *Food inflation in India has remained stubborn in recent years. A number of proximate factors such as increasing demand particularly arising from higher rural wages, rising agricultural cost of production, changing consumption pattern favoring protein items, increases in minimum support prices (MSPs) and
Sep 24, 2014
RBI WPS (DEPR): 09/2014: Business Cycles Approach to Dynamic Provisioning: An Indian Case Study
Press Release RBI Working Paper Series No. 09 Business Cycles Approach to Dynamic Provisioning: An Indian Case Study @Tulasi Gopinath and Thangjam Rajeshwar Singh Abstract There is a broad consensus in the literature that the financial system is procyclical in nature. The procyclicality of the financial system accentuates the phases of booms and busts of the business cycle with severe spillover implications for the real economy. In the wake of the recent global financ
Aug 28, 2014
RBI WPS (DEPR): 08/2014: A Financial Conditions Index for India
Press Release RBI Working Paper Series No. 08 A Financial Conditions Index for India @Anand Shankar 1Financial market variables contain information about the future state of the economy. Changes in financial variables often translate into changes in the real economy. Very often financial variables send contradictory signals to economic agents. Further, acute information asymmetry exists in financial markets especially around trigger events during times of crises. Brea
Jul 18, 2014
RBI WPS (DEPR): 07/2014: Debt Sustainability at the State Level in India
Press Release RBI Working Paper Series No. 07 Debt Sustainability at the State Level in India@Balbir Kaur, Atri Mukherjee, Neeraj Kumar and Anand Prakash Ekka Abstract *The debt position of the state governments in India, which deteriorated sharply between 1997-98 and 2003-04, has witnessed significant improvement since 2004-05, reflecting the impact of both favourable macroeconomic conditions and policy efforts by the Central and state governments. The debt sustainab
Jun 24, 2014
RBI WPS (DEPR): 06/2014: Estimating Employment Elasticity of Growth for the Indian Economy
Press Release RBI Working Paper Series No. 06 Estimating Employment Elasticity of Growth for the Indian Economy@Sangita Misra and Anoop K Suresh Abstract 1This paper provides updated estimates on employment elasticity - both aggregate as well as sector specific - using a variety of approaches. The aggregate employment elasticity estimates for India have declined over the decades and vary from 0.18 (arc elasticity) to 0.20 (point elasticity) during the post reform per
May 15, 2014
RBI WPS (DEPR): 05/2014: Impact of Real Exchange Rate Volatility on Use-Based Industrial Production in India
Press Release RBI Working Paper Series No. 5 Impact of Real Exchange Rate Volatility on Use-Based Industrial Production in India @Alice Sebastian, Upasana Sharma, Thangzason Sonna and Dr. Himanshu Joshi Abstract 1Theoretically, it is assumed that exchange rate volatility increases risk and hence dampens economic activity through well identified channels. Internationally, there have been empirical evidences in this regard that lent support to the adverse effect of exch
Feb 25, 2014
RBI WPS (DEPR): 04/2014: Quantifying the Cyclically Adjusted Fiscal Stance for India
Press Release RBI Working Paper Series No. 04 Quantifying the Cyclically Adjusted Fiscal Stance for India @Sangita Misra and Saurabh Ghosh Abstract Taking cue from recent debate in the literature, we attempt to disentangle cyclically adjusted fiscal balance (CAB) for India using methodology recommended by the IMF manual and a range of potential output estimates. Our results indicate that after initial success in containing CAB, it has increased considerably during the
Feb 07, 2014
RBI WPS (DEPR): 03/2014: Re-emerging Stress in the Asset Quality of Indian Banks: Macro-Financial Linkages
Press Release RBI Working Paper Series No. 03 Re-emerging Stress in the Asset Quality of Indian Banks: Macro-Financial Linkages @Shashidhar M. Lokare Abstract 1In a bank-based economy, sound health of the banking system is an imperative for efficient financial intermediation in the context of overall development and financial stability. In the post- global crisis period, the Indian banking system, has suffered growing impairment of asset quality. This paper explores t
Jan 31, 2014
RBI WPS (DEPR): 02/2014: Net Stable Funding Ratio - An Estimate for Scheduled Commercial Banks in India
Press Release RBI Working Paper Series No. 2 Net Stable Funding Ratio – An Estimate for Scheduled Commercial Banks in India @P. Bhuyan & A.K. Srimany Abstract 1Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) are two new liquidity ratios introduced by Basel Committee on Banking Supervision (BCBS) to address the problem of liquidity in the aftermath of the crisis that began in 2007. While the LCR tells about resiliency of a bank in short term, NS
Jan 08, 2014
RBI WPS (DEPR): 01/2014: Global Liquidity, Financialisation and Commodity Price Inflation
Press Release RBI Working Paper Series No. 01 Global Liquidity, Financialisation and Commodity Price Inflation @Kumar Rishabh and Somnath Sharma Abstract 1 We review the role of the factors, identified in the literature, behind the global commodity inflation, viz. emerging market demand, speculation led by financialisation and easy global liquidity. This paper contributes to the existing literature on the issue in two ways. First, following BIS (2011), the distinctio
Dec 20, 2013
RBI WPS (DEPR): 11/2013: Non Deliverable Forward and Onshore Indian Rupee Market: A Study on Inter-linkages
Press Release RBI Working Paper Series No. 11 Non Deliverable Forward and Onshore Indian Rupee Market: A Study on Inter-linkages@Rajan Goyal, Rajeev Jain and Soumasree Tewari Abstract 1The study examines the inter-linkages of onshore segments of India’s foreign exchange market with Non-Deliverable Forwards (NDF) market for Indian rupee (INR) for a sample period of June 6, 2006 to April 3, 2013. The study period is divided into four sub-periods based on appreciating/de
Oct 24, 2013
RBI WPS (DEPR): 10/2013: Net Interest Margin, Financial Crisis and Bank Behavior: Experience of Indian Banks
Press Release RBI Working Paper Series No. 10 Net Interest Margin, Financial Crisis and Bank Behavior: Experience of Indian Banks @Tushar B. Das Abstract 1The global financial crisis that jeopardized the advanced economies is perceived to have had a limited impact on Indian banking system. However, the effect was so severe that the advanced economies are still struggling to achieve stability. In this paper, we attempted to analyze the impact of the financial crisis o
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