Research and Publications

Press Release RBI Working Paper Series No. 08 Portfolio Flows and Exchange Rate Volatility: An Empirical Estimation for BRICS Countries Dipak R. Chaudhari, Pushpa Trivedi and Prabhat Kumar@ Abstract * This paper examines whether foreign portfolio flows are responsible for exchange rate volatility in the BRICS economies. Applying the GARCH (1, 1) model to monthly data from January 2000 to July 2021 on exchange rate returns, this paper finds that net portfolio flows in

Press Release RBI Working Paper Series No. 07 Regime-Dependent Determinants of the Uncollateralised Overnight Rate: The Interplay of Operating Procedure and Market Microstructure Edwin Prabu A Indranil Bhattacharyya@ Abstract 1 Efficient central bank liquidity management is premised on closely aligning the inter-bank overnight rate – the operating target of monetary policy – to the policy repo rate. However, sporadic shocks emanating from a host of factors – instituti

Press Release RBI Working Paper Series No. 06 Sourajyoti Sardar, Anirban Sanyal, Tushar B Das@ Abstract 1 Applying latent class analysis to unit-level data from the Consumer Confidence Survey, this paper brings out the heterogeneous impact of the first and the second wave of the COVID-19 pandemic on Indian households in terms of five parameters, namely their current perceptions and assessment of future outlook about economic conditions, employment, price level, income

Press Release RBI Working Paper Series No. 05 Reading Consumers’ Minds: An Analysis of Inflation Expectations Purnima Shaw@ Abstract 1 The heterogeneity in the consumption baskets of households is often deemed responsible for the deviation of households’ inflation expectations from the headline inflation number. A novel approach is proposed in this paper to verify this by simulating heterogeneous population consumption baskets and estimating the mean inflation by samp

Press Release RBI Working Paper Series No. 04 Impact of Foreign Direct Investment on Profitability: Evidence from the Indian Corporate Sector Haridwar Yadav, Vishal Shinde and Samir Kumar Das@ Abstract *The paper empirically assesses the impact of foreign direct investment (FDI) on the capital structure and profitability of Indian companies. Using a multivariate GMM panel regression model and a novel panel data set constructed by taking data from RBI releases on FDI c

Press ReleaseRBI Working Paper Series No. 03 Competitiveness and Determinants of Agricultural Exports: Evidence from India D. Suganthi@ Abstract *The paper examines the relative export competitiveness (REC) of eight agricultural commodities (rice, wheat, maize, gram, groundnut, onion, bovine meat and shrimp) from 1990 to 2020. The findings reveal that India’s export of rice was the most competitive, followed by groundnut, shrimp, gram, onion and bovine meat. The REC

Press Release RBI Working Paper Series No. 01 Measuring Contagion Effects of Crude Oil Prices on Sectoral Stock Price Indices in India Madhuchhanda Sahoo, Arvind Kumar Shrivastava, Jessica Maria Anthony and Thangzason Sonna@ Abstract 1This paper explores the contagion effects of extreme changes in global crude oil prices on sectoral stock price indices in India. Using generalised Pareto distribution (GPD) for estimating excess returns or exceedances i.e., deviations f

Press Release RBI Working Paper Series No. 02 Tail Risks of Inflation in India Silu Muduli and Himani Shekhar@ Abstract 1This paper estimates the tail risks of consumer price inflation in India using a quantile regression framework. It examines the impact of various domestic and global macroeconomic factors, along with the role of the flexible inflation targeting (FIT) in influencing the inflation tail risks as well as in explaining the shifts in its conditional dist

Press Release RBI Working Paper Series No. 14 Monetary Policy Independence under a Flexible Exchange Rate Regime – The Indian Case Harpreet Singh Grewal and Pushpa Trivedi@ Abstract 1The trilemma poses a macroeconomic challenge for policymakers where monetary policy independence, exchange rate stability and capital account openness cannot be achieved simultaneously. While operating with a flexible exchange rate, India intervenes in the foreign exchange market to conta

Press Release RBI Working Paper Series No. 12 Predicting Exchange Rate in India: A Non-parametric Causality-in-Quantiles Approach Seema Jaiswal@ Abstract 1Financial asset prices are widely used for predicting exchange rate movements. This paper examines the relationship between the INR/USD exchange rate and select commodity market and stock market variables using a non-parametric causality-in-quantiles approach. The paper finds that changes in crude oil, gold, stock p

Press Release RBI Working Paper Series No. 13 Is Implied Volatility Index (VIX) a Forward-Looking Indicator of Stock Market Movements in India? Amarendra Acharya, Subrat Kumar Seet and Prakash A. Salvi@ Abstract1 The paper analyses the relationship between the implied volatility index and stock index in the Indian context over a relatively long period and explores whether the former can act as a forward-looking indicator for stock market investments. The findings sugg

Press Release RBI Working Paper Series No. 11 SME Exchanges in India: Empirical Analysis of Firm Attributes and IPO Characteristics Shromona Ganguly@ Abstract 1Using the initial public offering (IPO) data of SME-dedicated exchanges, this study throws light on some of the characteristics of SME exchanges in India in terms of underpricing, aftermarket liquidity and long-run abnormal returns. It was found that firms listed in SME exchanges have higher profitability, liq

Press Release RBI Working Paper Series No. 10 Monetary Policy Transmission in India under the Base Rate and MCLR Regimes: A Comparative Study Sadhan Kumar Chattopadhyay and Arghya Kusum Mitra@ Abstract*The paper estimates the degree of pass-through of monetary policy to bank lending rates under both the base rate and the marginal cost of funds based lending rate (MCLR) regimes using dynamic panel data regression. Using nine different models for nine individual bank-sp

Press Release RBI Working Paper Series No. 09 Banks’ Credit and Investment Dynamics: Assessing Portfolio Rebalancing and Crowding-out Sanjay Singh, Garima Wahi and Muneesh Kapur@ Abstract 1 The paper analyses the asset portfolio dynamics of Indian banks with respect to loan growth and investment in government securities. The empirical analysis indicates that weak economic conditions and stressed asset quality encourage banks to increase their investments in government

Press Release RBI Working Paper Series No. 08 Towards Atma Nirbhar Bharat: An Exploration of Linkages and Leakages Saurabh Sharma, Ipsita Padhi and Deba Prasad Rath@ Abstract * Countries across the globe have undertaken unprecedented fiscal actions in response to the COVID crisis. India has also announced several rounds of fiscal stimuli under the umbrella scheme of Atma Nirbhar Bharat mission. In this context, it is important that the policy interventions are aligned

Press Release RBI Working Paper Series No. 06 Saving Banks from a Black Swan: Options and Trade-offs Saurabh Ghosh, Pawan Gopalakrishnan and Abhishek Ranjan@ Abstract 1In this paper, we analyse the best possible policy responses for banks facing a loan default because of an extreme and rare negative productivity shock. We use a finite-period framework with complete information to analyse the impact of such a shock on an economy with sticky deposit rates and bond yield

Press Release RBI Working Paper Series No. 07 Concentration, Competition and Soundness of the Banking System in India Pradip Bhuyan@ Abstract 1 This paper examined certain important aspects of concentration, competition and soundness of banks during the period from 1994-95 to 2019-20. Herfindahl-Hirschman Index suggested that the banking system in India did not have a high degree of concentration during the study period. Application of the Martinez-Miera and Repullo (

Press Release RBI Working Paper Series No. 05 Quantifying Survey-based Qualitative Responses on Capacity Utilisation – An Analysis for India G.P. Samanta and Sayantika Bhowmick@ Abstract *This paper examines the comparative utility of qualitative information collected on capacity utilisation (CU) through the Industrial Outlook Survey (IOS) of the Reserve Bank of India (RBI). The IOS, inter alia, collects two types of qualitative responses on CU: assessment for the sur

Press Release RBI Working Paper Series No. 03 India’s External Commercial Borrowings: Determinants and Optimal Hedge Ratio Ranjeev@ Abstract *This paper examines the determinants of External Commercial Borrowings (ECBs) raised by firms in India and identifies an optimal hedge ratio for the ECBs portfolio. It finds that domestic economic activity and movements in the exchange rate of the Indian rupee are the two major factors influencing the ECBs issuance. Depreciation

Press Release RBI Working Paper Series No. 04 States’ Fiscal Performance and Yield Spreads on Market Borrowings in India Ramesh Jangili, N.R.V.V.M.K. Rajendra Kumar and Jai Chander@ Abstract*State governments are borrowing significantly from the market to meet their budgetary requirements. As investors are risk-conscious, fiscal fundamentals may impact the yields, and states’ borrowing costs. Indicator-based assessment of the states’ performance is cumbersome, keeping