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Bhardwaj, Swapnil
- Asymmetries in Inflation Volatility:Evidence from India
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Authors
Affiliations
1 Department of Economics, University of Rajasthan, JLN Marg, Jaipur - 302004, Rajasthan, IN
1 Department of Economics, University of Rajasthan, JLN Marg, Jaipur - 302004, Rajasthan, IN
Source
SAMVAD: International Journal of Management, Vol 17 (2019), Pagination: 23-31Abstract
This paper records the volatility and asymmetry present in Indian inflation. The study uses monthly data from January 1991 to December 2016 of Wholesale Price Index (WPI) and Consumer Price Index (CPI) inflation to examine and model the volatility in the backdrop of changes in the monthly Crude Oil and Gold Prices. The methodology uses a generalized autoregressive conditional heteroskedasticity (GARCH) model along with exponential GARCH (EGARCH) and threshold GARCH (TGARCH). The analysis reveals that crude oil and gold price affect WPI and CPI differently. While crude oil price seems to be an insignificant factor contributing to CPI volatility, gold price emerges as a consequential factor influencing WPI inflation volatility.
Keywords
EGARCH, Inflation Uncertainty, TGARCH.Full Text
References
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- Evidence on Inflation Persistence in India
Abstract Views :141 |
PDF Views:78
Authors
Affiliations
1 Assistant Professor, Department of Economics, University of Rajasthan, JLN Marg, Jaipur – 302004, Rajasthan, IN
1 Assistant Professor, Department of Economics, University of Rajasthan, JLN Marg, Jaipur – 302004, Rajasthan, IN
Source
SAMVAD: International Journal of Management, Vol 25, No 0 (2022), Pagination: 31-38Abstract
The paper focuses on understanding the concept of inflation persistence in detail and analyzing it in the Indian economy context for the period 1991-2019 using monthly data. The study employs the univariate approach which is the most conventional method of estimating persistence as the sum of estimated autoregressive coefficients. The study estimates the persistence coefficient for the WPI and CPI measures of inflation, and it is found that the WPI measure of inflation is more persistent than the CPI for the period under study. The higher degree of persistence in the WPI inflation can be plausibly credited to higher persistence in the “manufacturing’ and “non-food” categories of overall WPI inflation.
Keywords
Inflation, Indian Economy, Inflation PersistenceFull Text
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