Industry Effects of Monetary Policy: Evidence from India

The study exploits 2-digit level industry data for the period 1981-2004 to ascertain the interlinkage between a monetary policy shock and industry value added. Accordingly, we first estimate a Vector Auto Regression (VAR) model to ascertain the magnitude of a monetary policy shock on industrial outp...

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Bibliographic Details
Main Author: Saibal Ghosh
Format: Journal Article
Published: Indian Economic Review 2009
Subjects:
INTEREST RATE CHANNEL; > FINANCIAL ACCELERATOR; > VECTOR AUTO REGRESSION
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300 |a p.89-105  |b 44(1), 2009 
520 |a The study exploits 2-digit level industry data for the period 1981-2004 to ascertain the interlinkage between a monetary policy shock and industry value added. Accordingly, we first estimate a Vector Auto Regression (VAR) model to ascertain the magnitude of a monetary policy shock on industrial output. Subsequently, we try to explain the observed heterogeneity in terms of industry characteristics. The findings indicate that (a) industries exhibit differential response to a monetary tightening and (b) both interest rate and financial accelerator variables tend to be important in explaining the differential response.  
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