Testing for the Effectiveness of Inflation Targeting in India: A Factor Augmented Vector Autoregression (FAVAR) Approach

1. Aguir, A. (2018). Central Bank Credibility, Independence, and Monetary Policy. Journal of Central Banking Theory and Practice, 7(3), 91-110.10.2478/jcbtp-2018-0025Search in Google Scholar

2. Awdeh, A. (2019). Monetary Policy and Economic Growth in Lebanon. Journal of Central Banking Theory and Practice, 8(2), 147-171.10.2478/jcbtp-2019-0018Search in Google Scholar

3. Belviso, F., & Milani, F. (2006). Structural factor-augmented VARs (SFAVARs) and the effects of monetary policy. Topics in Macroeconomics, 6(3).10.2202/1534-5998.1443Search in Google Scholar

4. Bernanke, B. S., & Boivin, J. (2003). Monetary policy in a data-rich environment. Journal of Monetary Economics, 50(3), 525-546.10.1016/S0304-3932(03)00024-2Search in Google Scholar

5. Bernanke, B. S., & Gertler, M. (2001). Should central banks respond to movements in asset prices? American Economic Review, 91(2), 253-257.10.1257/aer.91.2.253Search in Google Scholar

6. Bernanke, B. S., Boivin, J., & Eliasz, P. (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, 120(1), 387-422.10.1162/qjec.2005.120.1.387Search in Google Scholar

7. Bhattacharyya, I., & Sensarma, R. (2005). Signalling instruments of monetary policy: The Indian experience. Journal of Quantitative Economics, 3(2), 180-196.10.1007/BF03404632Search in Google Scholar

8. Bhattacharyya, I., & Sensarma, R. (2008). How effective are monetary policy signals in India? Journal of Policy Modeling, 30(1), 169-183.10.1016/j.jpolmod.2007.07.003Search in Google Scholar

9. Bicchal, M. (2010) Monetary Policy and Inflation in India: A Structural VAR Analysis, 53(3), Available at: http://dx.doi.org/10.2139/ssrn.181388610.2139/ssrn.1813886Search in Google Scholar

10. Boivin, J., & Giannoni, M. P. (2006). Has monetary policy become more effective? Review of Economics and Statistics, 88(3), 445-462.10.1162/rest.88.3.445Search in Google Scholar

11. Figueiredo, F. M. R. (2010). Forecasting Brazilian inflation using a large data set. Central Bank of Brazil Working Paper, 228. Available at: https://www.bcb.gov.br/pec/wps/ingl/wps228.pdfSearch in Google Scholar

12. Gambacorta, L., Hofmann, B., & Peersman, G. (2014). The effectiveness of unconventional monetary policy at the zero lower bound: A cross-country analysis. Journal of Money, Credit and Banking, 46(4), 615-642.10.1111/jmcb.12119Search in Google Scholar

13. Júnior, J. L. R. (2009). Identification of monetary policy shocks and its effects: FAVAR methodology for the Brazilian economy. Brazilian Review of Econometrics, 29(2), 285-313.10.12660/bre.v29n22009.3444Search in Google Scholar

14. Kannan, R., Sanyal, S., & Bhoi, B. B. (2007). Monetary conditions index for India. RBI Occasional Papers, 27, 57-86.Search in Google Scholar

15. Lagana, G., & Mountford, A. (2005). Measuring Monetary Policy in the UK: A Factor-Augmented Vector Autoregression Model Approach. Manchester School Supplement, 73, 77-98.10.1111/j.1467-9957.2005.00462.xSearch in Google Scholar

16. Lahura, E. (2010). The effects of monetary policy shocks in Peru: Semi-structural identification using a factor-augmented vector autoregressive model. Banco Central de Reserva del Perú, Documento de Trabajo, 8, 1-49.Search in Google Scholar

17. Mordi, C. N., Adebiyi, M. A., Adenuga, A. O., Adebayo, O. M., Abeng, M. O., Akpan, I. N., & Evbuomwan, O. O. (2013). Modeling the real sector of the Nigerian economy (pp. 1-59). CBN, Research Department.Search in Google Scholar

18. Munir, K., & Qayyum, A. (2014). Measuring the effects of monetary policy in Pakistan: a factor-augmented vector autoregressive approach. Empirical Economics, 46(3), 843-864.10.1007/s00181-013-0702-9Search in Google Scholar

19. Nachane, D. M., Ray, P., & Ghosh, S. (2002). Does Monetary Policy Have Differential State-Level Effects? An Empirical Evaluation. Economic and Political Weekly, 37(47), 4723-4728.Search in Google Scholar

20. Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852.10.1111/j.1467-937X.2005.00353.xSearch in Google Scholar

21. Qayyum, Abdul (2006). Money, inflation, and growth in Pakistan. Pakistan Development Review, 45(2), 203-212.10.30541/v45i2pp.203-212Search in Google Scholar

22. Rajan, R. S., & Yanamandra, V. (2015). Effectiveness of Monetary Policy in India: The Interest Rate Pass-Through Channel. In Managing the Macroeconomy (pp. 40-73). Palgrave Macmillan, London.10.1057/9781137534149_2Search in Google Scholar

23. Ramachandran, M., & Kamaiah, B. (1994). Separability of Monetary Assets: Some Evidence from Approximation Analysis for India. Journal of Quantitative Economics, 10, 337-50.Search in Google Scholar

24. Ramachandran, M., & Kumar, R. (2017). Shocks and inflation. RBI DRG series, Available at: https://rbidocs.rbi.org.in/rdocs/Publications/PDFs/DRG30032017B9FD5B290FB94079A6B81A987D02B04A.PDFSearch in Google Scholar

25. Rangarajan, A., Talora, C., Okuyama, R., Nicolas, M., Mammucari, C., Oh, H., ... & Miele, L. (2001). Notch signaling is a direct determinant of keratinocyte growth arrest and entry into differentiation. The EMBO journal, 20(13), 3427-3436.10.1093/emboj/20.13.3427Search in Google Scholar

26. Rangarajan, C. (1997). Role of monetary policy. Economic and Political Weekly, 3325-3328.Search in Google Scholar

27. Reddy, Y. V. (2004). Monetary and financial sector reforms in India: a practitioner’s perspective. In K Basu & C Marks (Eds), India’s emerging economy: Performance and prospects in the 1990s and beyond, 61-82.Search in Google Scholar

28. Ribon, S. (2011). The Effect of Monetary Policy on Inflation: A Factor Augmented VAR Approach using disaggregated data (No. 2011.12). Bank of Israel.Search in Google Scholar

29. Roşoiu, A. (2015). Monetary policy and factor-augmented VAR model. Procedia Economics and Finance, 32, 400-407.10.1016/S2212-5671(15)01410-0Search in Google Scholar

30. Samantaraya, A. (2009). An Index to Assess the Stance of Monetary Policy in India in the Post-Reform Period. Economic and Political Weekly, 44(20), 46-50.Search in Google Scholar

31. Saxegaard, M. (2006). Excess liquidity and the effectiveness of monetary policy: evidence from Sub-Saharan Africa (No. 6-115). International Monetary Fund.10.5089/9781451863758.001Search in Google Scholar

32. Sims, C. A. (1992). Interpreting the macroeconomic time series facts: The effects of monetary policy. European Economic Review, 36(5), 975-1000.10.1016/0014-2921(92)90041-TSearch in Google Scholar

33. Smitha, T. H., & Sankaranarayanan, K. C. (2010). Impact of monetary policy on indian economy in the post-reform period (Doctoral dissertation, Cochin University of Science & Technology).Search in Google Scholar

34. Stock, J. H., & Watson, M. W. (2002). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association, 97(460), 1167-1179.10.1198/016214502388618960Search in Google Scholar

35. Twinoburyo, E. N., & Odhiambo, N. M. (2018). Monetary policy and economic growth: a review of international literature. Journal of Central Banking Theory and Practice, 7(2), 123-137.10.2478/jcbtp-2018-0015Search in Google Scholar

36. Upadhyaya, K. P. (1991). The efficacy of monetary and fiscal policies in developing countries: An application of the St. Louis Equation. Indian Economic Journal, 39(1), 35.10.1177/0019466219910103Search in Google Scholar

37. Vasudevan, A. (2002). Evolving monetary policy in India: some perspectives. Economic and Political Weekly, 37(11), 1055-1061.Search in Google Scholar