Monetary Transmission in the Indian Economy

Pami Dua and Anshumaan Tuteja ()
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Anshumaan Tuteja: University of Warwick

Chapter Chapter 5 in Macroeconometric Methods, 2023, pp 97-122 from Springer

Abstract: Abstract This paper examines monetary transmission channels of India during the period 1998 to 2015. In a structural VAR framework, we use a non-recursive strategy to identify monetary policy shocks using monthly data while controlling for international factors like global interest rates and oil prices affecting the Indian economy. Our results confirm that a contractionary shock lowers inflation as well as long-term expectations on inflation and output, while output response is low and insignificant. We also find the presence of the exchange rate channel and evidence of a weak asset price channel in the Indian economy.

Keywords: Transmission of monetary policy; Structural VAR; India; Expectations channel; Monetary policy shocks (search for similar items in EconPapers)
JEL-codes: C32 E52 F41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-19-7592-9_5

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DOI: 10.1007/978-981-19-7592-9_5

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