Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India
This paper examines the effect of monetary policy shocks on exchange rate in a Multiple Indicator Approach (MIA) framework. This study has employed a monetary policy index of key monetary policy instruments in India (Bank rate, Cash Reserve Ratio, Repo and Reverse Repo rates). The study finds the em...
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| Format: | Article |
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2017-08-01
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| Series: | Studies in Business and Economics |
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| Online Access: | https://doi.org/10.1515/sbe-2017-0030 |
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doaj-695af896e59344bcbb0a1eceb34834b42021-09-05T14:00:25ZengSciendoStudies in Business and Economics2344-54162017-08-0112220621910.1515/sbe-2017-0030sbe-2017-0030Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from IndiaSharma Chandan0Setia Rajat1Indian Institute of Management Lucknow, Lucknow, IndiaNational Institute of Financial Management, Faridabad, IndiaThis paper examines the effect of monetary policy shocks on exchange rate in a Multiple Indicator Approach (MIA) framework. This study has employed a monetary policy index of key monetary policy instruments in India (Bank rate, Cash Reserve Ratio, Repo and Reverse Repo rates). The study finds the empirical evidence for puzzling behavior of price level and exchange rate. Both price and exchange rate increase initially in response to a contractionary policy shock. Policy shocks affect output, inflation and exchange rate to an appreciable extent over a forecasting horizon of one year.https://doi.org/10.1515/sbe-2017-0030monetary policy transmissionexchange rateimpulse response |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Sharma Chandan Setia Rajat |
| spellingShingle |
Sharma Chandan Setia Rajat Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India Studies in Business and Economics monetary policy transmission exchange rate impulse response |
| author_facet |
Sharma Chandan Setia Rajat |
| author_sort |
Sharma Chandan |
| title |
Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India |
| title_short |
Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India |
| title_full |
Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India |
| title_fullStr |
Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India |
| title_full_unstemmed |
Effects of Monetary Shocks on Exchange Rate: Empirical Evidence from India |
| title_sort |
effects of monetary shocks on exchange rate: empirical evidence from india |
| publisher |
Sciendo |
| series |
Studies in Business and Economics |
| issn |
2344-5416 |
| publishDate |
2017-08-01 |
| description |
This paper examines the effect of monetary policy shocks on exchange rate in a Multiple Indicator Approach (MIA) framework. This study has employed a monetary policy index of key monetary policy instruments in India (Bank rate, Cash Reserve Ratio, Repo and Reverse Repo rates). The study finds the empirical evidence for puzzling behavior of price level and exchange rate. Both price and exchange rate increase initially in response to a contractionary policy shock. Policy shocks affect output, inflation and exchange rate to an appreciable extent over a forecasting horizon of one year. |
| topic |
monetary policy transmission exchange rate impulse response |
| url |
https://doi.org/10.1515/sbe-2017-0030 |
| work_keys_str_mv |
AT sharmachandan effectsofmonetaryshocksonexchangerateempiricalevidencefromindia AT setiarajat effectsofmonetaryshocksonexchangerateempiricalevidencefromindia |
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1717811987355795456 |