Research and Publications

Press Release RBI Working Paper Series No. 03 A Measure of Finance-Neutral Output Gap for India @Deba Prasad Rath, Pratik Mitra and Joice John Abstract 1In the Indian context, the present literature on estimation of potential output - the level of output that an economy can produce sustainably over the medium term - is based on an understanding that sustainability is characterised as output consistent with low and stable inflation. However, there are episodes when eco

Press Release RBI Working Paper Series No. 02 The Unintended Side Effects of Basel III Liquidity Regulations on the Operating Target of Monetary Policy @Sitikantha Pattanaik Rajesh Kavediya Angshuman Hait Abstract 1The implementation of Basel III liquidity regulations entails unintended ramifications for the unsecured segment of the money market, and therefore for the operating target of monetary policy. Empirical estimates from a dynamic panel model suggest that unde

Press Release RBI Working Paper Series No. 01 How Asset Prices Interact with Bank Credit and Monetary Policy? Evidence from Emerging Market and Developing Economies @Bhupal Singh and Avadhoot R. Nadkarni Abstract *The central hypothesis examined in this paper is whether credit shocks are more dominant in affecting asset prices vis-a-vis monetary policy shocks. The paper examines interaction of equity and house prices with macroeconomic factors using a panel VAR fra

Press Release RBI Working Paper Series No. 10 Modelling Corporate Sector Distress in India @Manjusha Senapati and Saptarshi Ghosal Abstract 1The paper attempts to formulate a model to predict corporate financial distress of non-government non-financial public limited companies and estimate distressed bank debt due to the sample companies for the period 2006-07 to 2013-14. The model estimates probability of a company being financially distressed in the following year u

Press Release RBI Working Paper Series No. 09 Bank Lending and Loan Quality: The Case of India@Pallavi Chavan and Leonardo Gambacorta Abstract *This paper analyses how non-performing loans (NPLs) of Indian banks behave through the cycle. We find that a one-percentage point increase in loan growth is associated with an increase in NPLs over total advances (NPL ratio) of 4.3 per cent in the long run with the response being higher during expansionary phases. Furthermore,

Press Release RBI Working Paper Series No. 08 Quarterly Projection Model for India: Key Elements and Properties @Jaromir Benes, Kevin Clinton, Asish Thomas George, Pranav Gupta, Joice John, Ondra Kamenik, Douglas Laxton, Pratik Mitra, G.V. Nadhanael, Rafael Portillo, Hou Wang and Fan Zhang Abstract 1This paper outlines the key features of the production version of the quarterly projection model (QPM), which is a forward looking open economy gap model, calibrated to re

Press Release RBI Working Paper Series No. 07 Inflation-Forecast Targeting For India: An Outline of the Analytical Framework @Jaromir Benes, Kevin Clinton, Asish Thomas George, Joice John, Ondra Kamenik, Douglas Laxton, Pratik Mitra, G.V. Nadhanael, Hou Wang and Fan Zhang Abstract 1India formally adopted flexible-inflation targeting (FIT) in June 2016 to place price stability, defined in terms of a target CPI inflation, as the primary objective of the monetary poli

Press Release RBI Working Paper Series No. 06 Measurement of Central Bank Output– Methodological Issues for India @P. Bhuyan Abstract The paper deliberates on methodological issues relating to the measurement of central bank output in Indian context. CSO classified RBI output as non-market in the new series of GDP with 2011-12 as base due to non-availability of disaggregated account for RBI services. Cost approach as per SNA 2008 was adopted to measure the output of R

Press Release RBI Working Paper Series No. 05 India’s Potential Output Revisited @Barendra Kumar Bhoi and Harendra Kumar Behera Abstract *Estimates of potential output have been revised downward across countries in the post-crisis period. In India, the debate on potential GDP and output gap has been intensified due to revision in the GDP estimates with change in base year and its underlying methodology consistent with international best practices. In view of these, an

Press Release RBI Working Paper Series No. 4Rules of the Monetary Game @Prachi Mishra and Raghuram Rajan March 2016 Abstract Aggressive monetary policy actions by one country can lead to significant adverse cross-border spillovers on others, especially as countries contend with the zero lower bound. If countries do not internalize these spillovers, they may undertake policies that are collectively suboptimal. Perhaps instead, countries could agree to guidelines for r

Press Release RBI Working Paper Series No. 03 Global Spillovers and Monetary Policy Transmission in India @Michael Debabrata Patra, Sitikantha Pattanaik, Joice John and Harendra Kumar Behera Abstract Do global spillovers clog transmission channels of monetary policy through domestic financial markets? Drawing on stylised facts and using a dynamic factor model to develop an indicator of global spillovers (IGS), a time-varying parameter vector autoregression (TVP-VAR)

Press Release RBI Working Paper Series No. 02 Implications of MGNREGS on Labour Market, Wages and Consumption Expenditure in Kerala@V. Dhanya Abstract 1This paper makes an attempt to evaluate the implications of MGNREGS in labour short economy of Kerala. The analysis of NSSO unit level data revealed inter-state differences in implementation of the scheme with North-Eastern and Southern states performing better than its counterparts. The primary data analysis showed th

Press Release RBI Working Paper Series No. 06 Capital Structure, Ownership and Crisis: How Different Are Banks? @Saibal Ghosh and Goutam Chatterjee Abstract 1Employing data for 1992-2012, the article examines the factors affecting the capital structure of publicly listed Indian banks from a corporate finance perspective and compares the findings by exploiting a comparable sample of largest (based on their average market capitalization of last three years) non-financia

Press Release RBI Working Paper Series No. 05 Natural Interest Rate: Assessing the Stance of India’s Monetary Policy under Uncertainty @Harendra Kumar Behera, Sitikantha Pattanaik and Rajesh Kavediya Abstract *The constant natural interest rate assumption implicit in Taylor type feedback rules to assess the stance of monetary policy could be misleading at times, particularly because of the time- varying nature of the natural interest rate. Literature suggests that na

Press Release RBI Working Paper Series No. 04 Is Exchange Rate The Dominant Factor Influencing Corporate Profitability in India? @Shaoni Nandi, Debasish Majumder and Anujit Mitra Abstract 1 Profitability of the non-financial private corporates is one of the key indicators of the macroeconomic activities and financial health of a nation. In India, list of major factors influencing profitability has altered over time. In particular, the gradual opening up of the econo

Press Release RBI Working Paper Series No. 03 Inter-sectoral Linkages in the Indian Economy @Rajib Das, Binod B. Bhoi, Pankaj Kumar and Krittika Banerjee Abstract 1The paper develops a series of structural equations outlining relations within and across sectors of the macro-economy in India. The economy is conceived as a network of five sectors, the output (GDP and its components), prices (WPI and its components), monetary (money supply and interest rates), governme

Press Release RBI Working Paper Series No. 02 Public Debt Management in India and Related Issues @L. Lakshmanan & R. Kausaliya Abstract *The public debt management in India has clearly traversed from a passive system to a market driven process with developed institutions, instruments, widespread investors, intermediaries for market making and efficient market infrastructure. Towards the PDM objective of minimising the cost of borrowing over the medium to longer t

Press Release RBI Working Paper Series No. 01 Estimating Sacrifice Ratio for Indian Economy – A Time Varying Perspective @Pratik Mitra, Dipankar Biswas and Anirban Sanyal Abstract *This paper estimates sacrifice ratios for the post liberalization period for India. ‘Sacrifice Ratio’ is defined as the loss of output sustained by the economy to achieve reduction in the long-run inflation by one percentage point. Deriving sacrifice ratio by estimating Aggregate Supply Cur

Press Release RBI Working Paper Series No. 11 Forecasting Major Macroeconomic Variables in India – Performance Comparison of Linear, Non-linear Models and Forecast Combinations @Anirban Sanyal and Indrajit Roy Abstract 1 This paper adopts linear, non-linear time series models along with forecast combination (of linear and non-linear) for forecasting major macroeconomic variables (Monthly series of Index of Industrial production –IIP and quarterly series of GDP) in res