Working Papers - RBI - Reserve Bank of India
Working Papers
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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