Determinants of inflation in India

Deepak Mohanty and Joice John

Journal of Asian Economics, 2015, vol. 36, issue C, 86-96

Abstract: The paper attempts to identify the determinants of inflation in India in a multivariate econometric framework using quarterly data from Q1: 1996–1997 to Q3: 2013–2014. The identified determinants of domestic inflation such as crude oil prices, output gap, fiscal policy and monetary policy, and their relation with inflation is studied in a structural vector auto regression (SVAR) model. Further, the temporal changes in inflation dynamics are analyzed using a time varying parameter SVAR model with stochastic volatility. It was found that inflation dynamics in India have changed over time with various determinants showing significant time variation in the recent years, particularly after the global financial crisis.

Keywords: Inflation; India; Time-varying parameter model; Stochastic volatility (search for similar items in EconPapers)
JEL-codes: C32 E31 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1049007814000670
Full text for ScienceDirect subscribers only

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:eee:asieco:v:36:y:2015:i:c:p:86-96

DOI: 10.1016/j.asieco.2014.08.002

Access Statistics for this article

Journal of Asian Economics is currently edited by C. Wiemer

More articles in Journal of Asian Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().