Some Empirical Evidence on the Effects of Monetary Policy in India: A Vector Autoregressive Based Analysis

Gyanendra Pratap Singh ()
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Gyanendra Pratap Singh: University of Allahabad

Chapter Chapter 3 in Current Issues in the Economy and Finance of India, 2018, pp 43-54 from Springer

Abstract: Abstract The global financial crisis of 2007–08 has been one of the most difficult financial and economic episodes for the world economy. This chapter investigates changes in the impact of monetary policyMonetary policy on some key macroeconomic variablesMacroeconomic variables in pre-and post-global financial crisis of 2007–08. We estimate a reduced form Vector Autoregressive modelVector Autoregressive model of five variables: money, output, prices, interest rates and the exchange rates for pre-and post-crisis periods. The empirical evidence suggests that monetary policyMonetary policy shocks have expected effect on output and prices. However, the monetary policyMonetary policy transmission lags are significantly reduced in post crisis period. The peak effect on output and prices are felt with a lag of 5 and 12 months which were 13 and 23 months respectively in pre-crisis periods.

Keywords: Monetary policy; Vector autoregressive model; Structural break; Impulse responses (search for similar items in EconPapers)
JEL-codes: E43 E51 E52 E58 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-99555-7_3

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DOI: 10.1007/978-3-319-99555-7_3

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