HAS INFLATION PERSISTENCE IN INDIA CHANGED OVER TIME?

Joice John ()
Additional contact information
Joice John: Reserve Bank of India, Mumbai, India

The Singapore Economic Review (SER), 2015, vol. 60, issue 04, 1-16

Abstract: The temporal movement of reduced form inflation persistence for India was estimated using time-varying autoregressive models with stochastic volatility, using monthly data from April 2004 to June 2012. The results suggested an increasing trend in inflation persistence in India during 2004–2009, which had fallen down subsequently. Structural persistence was studied using a time-varying vector auto regression (VAR) model with inflation, output growth and interest rate as variables using quarterly data from 1996–1997 to 2011–2012. The results suggested that the inflation persistence which was higher in 2009 and 2010, had subsequently moderated.

Keywords: Reduced form inflation persistence; structural inflation persistence; time-varying parameter models; stochastic volatility; E31; C32; E52 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217590815500952
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:serxxx:v:60:y:2015:i:04:n:s0217590815500952

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217590815500952

Access Statistics for this article

The Singapore Economic Review (SER) is currently edited by Euston Quah

More articles in The Singapore Economic Review (SER) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().