Determinants of Monetary Policy: An Application of Regime Switching Model

被引：0

作者：

Khandelwal, T. ^{[1
]}

Hari, K. S. ^{[2
]}

Dash, R. K. ^{[1
]}

机构：

[1] Symbiosis Int Univ, Symbiosis Sch Econ, Pune 411004, Maharashtra, India

[2] Gokhale Inst Polit & Econ, Pune 411004, Maharashtra, India

来源：

INDIAN JOURNAL OF ECONOMICS AND DEVELOPMENT | 2023年 / 19卷 / 04期

关键词：

Monetary policy; MS-VAR; regime change; Taylor rule; TIME-SERIES; INFLATION; RULES;

D O I：

10.35716/IJED-23324

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The monetary policy of India has undergone substantial changes since 2013, particularly after taper tantrum episodes. The RBI moved from WPI to CPI for measuring inflation. Monetary policy anchoring shifted from a multiple-indicator approach (MIA) to flexible inflation targeting (FIT) in 2016 to deal with the aftermath of the global financial crisis. In this context, the study examined whether there was a significant shift in the monetary policy regime using a non-linear model (Markov Switching-Vector Autoregression Model) covering monthly data from 2013 to 2020. The study also investigated the role of the inflation rate, oil price, growth rate, and exchange rate in influencing monetary policy in India. The study found no change in the RBI monetary policy regime, and monetary policy remained biased towards controlling the inflation rate.

引用

页码：880 / 886

页数：7

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