Similar Search Results

Are there Asymmetric Effects of Monetary Policy in India?

Khundrakpam, Jeevan Kumar - Volkswirtschaftliche Fakultät, … - 2013

to their increase, an unanticipated hike in policy rate has no impact on them. The impact on inflation is also symmetric … neutral to components of aggregate demand and, thus, on inflation, ranging from 6.25 per cent to 7.0 per cent. …

Persistent link: https://www.econbiz.de/10011107770

An Empirical Analysis of the Relationship between WPI and PMI-Manufacturing Price Indices in India

Khundrakpam, Jeevan Kumar; George, Asish Thomas - Volkswirtschaftliche Fakultät, … - 2012

Manufacturing Purchasing Managers Index (PMI) has been increasingly used by various central banks for assessing the direction and strength of economic activity. One of the sub-indices or component level information provided by PMI is that of industrial input and output prices trends as surveyed...

Persistent link: https://www.econbiz.de/10011259291

Have Economic Reforms Affected Exchange Rate Pass-Through to Prices in India?

Khundrakpam, Jeevan Kumar - Volkswirtschaftliche Fakultät, … - 2008

higher inflation is an important factor for the rise in pass-through. …

Persistent link: https://www.econbiz.de/10011108958

A Note on Differential Asymmetric Effects of Money Supply and Policy Rate Shocks in India

Khundrakpam, Jeevan Kumar - Volkswirtschaftliche Fakultät, … - 2013

data from 1996-97Q1 to 2011-12Q4. It finds that both the shocks impact real output growth and inflation in the short …. An unanticipated hike/reduction in policy rate leads to a symmetric decline/rise in inflation. An unanticipated change in … money supply leads to higher inflation, but a similar decrease in it has no significant impact on inflation. …

Persistent link: https://www.econbiz.de/10011259315

Government Deficit and Inflation in India

Prasad, A; Khundrakpam, Jeevan Kumar - Volkswirtschaftliche Fakultät, … - 2003

This study covering the period 1951-52 to 1999-2000 finds that government deficit has been an important cause for long-run inflationary trend in India. The estimates in the study, however, suggest that there is an optimal level of monetisation for a given level of government deficit and refutes...

Persistent link: https://www.econbiz.de/10011112033

Global Crisis, Fiscal Response and Medium-term Risks to Inflation in India

Khundrakpam, Jeevan Kumar; Pattanaik, Sitikantha - Volkswirtschaftliche Fakultät, … - 2010

level, as has been experienced by India in the past, there could be medium-term implications for the future inflation path …, which must be recognised while designing the timing and speed of fiscal exit. Inflation, at times, may become effectively a … this paper, fiscal deficit could be seen to influence the inflation process either through growth of base money created by …

Persistent link: https://www.econbiz.de/10011111327

Stationarity and geometric ergodicity of a class of nonlinear ARCH models

Saidi, Youssef; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2006

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis...

Persistent link: https://www.econbiz.de/10011167230

On uniqueness of moving average representations of heavy-tailed stationary processes

Gouriéroux, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014

We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...

Persistent link: https://www.econbiz.de/10011107938

Risk-parameter estimation in volatility models

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2012

This paper introduces the concept of risk parameter in conditional volatility models of the form $\epsilon_t=\sigma_t(\theta_0)\eta_t$ and develops statistical procedures to estimate this parameter. For a given risk measure $r$, the risk parameter is expressed as a function of the volatility...

Persistent link: https://www.econbiz.de/10011108575

Garch models without positivity constraints: exponential or log garch?

Francq, Christian; Wintenberger, Olivier; Zakoian, … - Volkswirtschaftliche Fakultät, … - 2012

This paper studies the probabilistic properties and the estimation of the asymmetric log-GARCH($p,q$) model. In this model, the log-volatility is written as a linear function of past values of the log-squared observations, with coefficients depending on the sign of the observations, and past...

Persistent link: https://www.econbiz.de/10011110153