Economics at your fingertips  

Commodity futures prices pass-through and monetary policy in India: Does asymmetry matter?

Rudra Prosad Roy and Saikat Sinha Roy

The Journal of Economic Asymmetries, 2022, vol. 25, issue C

Abstract: Like many other emerging market economies, India is practising flexible inflation targeting through monetary policy. As the success of inflation targeting regime largely depends upon the ability of the central bank to predict the future path of inflation accurately, it is important to identify the predictors of inflation. The paper empirically examines the informational role of commodity futures prices for monetary policy in India considering the possible presence of asymmetries. Employing the Nonlinear Autoregressive Distributed Lag (NARDL) as estimation strategy, this study is probably the first attempt to examine the asymmetric relationship between commodity futures prices and macroeconomic variables relevant to monetary policymaking. The results are expected to assume significance for the policymakers as the presence of pass-through effects of commodity futures prices confirms its role as an information variable in the process of monetary policy making in India.

Keywords: Commodity futures prices; Asymmetry; Inflation; Monetary policy (search for similar items in EconPapers)
JEL-codes: E31 E44 E52 G12 Q02 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/j.jeca.2021.e00229

Access Statistics for this article

The Journal of Economic Asymmetries is currently edited by A.G. Malliaris

More articles in The Journal of Economic Asymmetries from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-09-21
Handle: RePEc:eee:joecas:v:25:y:2022:i:c:s1703494921000347