EFFECTS OF MONETARY SHOCKS ON EXCHANGE RATE: EMPIRICAL EVIDENCE FROM INDIA
Chandan Sharma and
Additional contact information
Rajat Setia: National Institute of Financial Management, India
Studies in Business and Economics, 2017, vol. 12, issue 2, 206-219
This paper examines the effect of monetary policy shocks on exchange rate in a Multiple Indicator Approach (MIA) framework. This study has employed a monetary policy index of key monetary policy instruments in India (Bank rate, Cash Reserve Ratio, Repo and Reverse Repo rates). The study finds the empirical evidence for puzzling behavior of price level and exchange rate. Both price and exchange rate increase initially in response to a contractionary policy shock. Policy shocks affect output, inflation and exchange rate to an appreciable extent over a forecasting horizon of one year.
Keywords: Monetary Policy Transmission; Exchange rate; Impulse Response (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:blg:journl:v:12:y:2017:i:2:p:206-219
Access Statistics for this article
More articles in Studies in Business and Economics from Lucian Blaga University of Sibiu, Faculty of Economic Sciences Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Mihaela Herciu ().