Monetary Policy Transmission in Financial Markets: The Case of India
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Associate Professor, Aryabhatta College, University of Delhi, Benito Juarez Road, New Delhi – 110021 ,IN
Suvojit Lahiri Chakravarty
DOI:
https://doi.org/10.18311/jbt/2021/27718Keywords:
Financial Markets, Monetary Policy TransmissionJEL classification
, E52, E58Abstract
The paper looks into the monetary policy transmission across different segments of the financial market in India from May 2011 to March 2018. It studies the effect of two instruments ie, policy rate and a composite index ( score) comprising of quantity instruments and policy rates on the money market, govt. securities market, foreign exchange market and the stock market using VAR analysis. The results show that monetary transmission is fairly quick in the money market and other interest rates of short maturity compared to interest rates of longer maturities. The impact on interest rates is an appreciation for the policy rate but a depreciation followed by an appreciation for the composite index. Lastly the effect of policy rate and composite index on the sensex is negative.
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All the articles published in JBT are distributed under a creative commons license. The journal allows the author(s) to hold the copyright of their work (all usages allowed except for commercial purpose).
Accepted 2021-07-13
Published 2022-08-18
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