Industry Effects of Monetary Policy: Evidence from India

Saibal Ghosh

MPRA Paper from University Library of Munich, Germany

Abstract: The study exploits 2-digit level industry data for the period 1981-2004 to ascertain the interlinkage between a monetary policy shock and industry value added. Accordingly, we first estimate a Vector Auto Regression (VAR) model to ascertain the magnitude of a monetary policy shock on industrial output. Subsequently, we try to explain the observed heterogeneity in terms of industry characteristics. The findings indicate that (a) industries exhibit differential response to a monetary tightening and (b) both interest rate and financial accelerator variables tend to be important in explaining the differential response.

Keywords: industry; monetary policy; interest rate channel; financial accelerator; vector auto regression; cross section regression (search for similar items in EconPapers)
JEL-codes: E52 L60 (search for similar items in EconPapers)
Date: 2009-01
New Economics Papers: this item is included in nep-cwa, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Published in Indian Economic Review 1.44(2009): pp. 89-105

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Journal Article: Industry Effects of Monetary Policy: Evidence from India (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:17307

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