The Impact of Shocks on Core Inflation; Evidence from India

Priyanka Sahu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper attempts to investigate the impact of demand and supply shocks on core inflation in India. Firstly, it calculates core inflation through asymmetric trim mean approach and secondly autoregressive distributed model is used to explain the dynamic effects of shocks on core inflation. Empirical findings based on ARDL bound test confirms the existence of long run relationship between core inflation with other macroeconomic variables and CUSUM and CUSUMSQ test show stability of coefficients in the model. Overall, the response of core inflation to demand shock is high in case of real variables as compared to monetary variables and its response to skewness-based supply shock is high as compared to food and fuel inflation.

Keywords: Headline Inflation; Core Inflation; Demand Shocks; Supply Shocks; Asymmetric trimmed Mean; Autoregressive Model; Bound Test. (search for similar items in EconPapers)
JEL-codes: C22 E31 E51 E52 (search for similar items in EconPapers)
Date: 2018-03-10
New Economics Papers: this item is included in nep-ets, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/86588/1/MPRA_paper_86588.pdf original version (application/pdf)

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:pra:mprapa:86588

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().