Exchange Rate Pass-through in India

Rudrani Bhattacharya · Ila Patnaik · Ajay Shah

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Monetary Policy and Economic Impact Economics of Agriculture and Food Markets Market Dynamics and Volatility

Abstract

We investigate the relationship between inflation and the exchange rate in the post reform period in India. We estimate the impact of a change in the nominal exchange rate on the wholesale and consumer price indexes from 1997 to 2007. We also explore the impact of changes in oil prices and commodity prices on inflation in India. We find there are cointegrating relationships, and setup an estimation strategy which is consistent with this fact. We find that there is significant, but incomplete, exchange rate pass through. JEL Codes: C32, E31, E37, F31, O52.

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References

1980Macroeconomics and Reality 1976Expectations and Exchange Rate Dynamics 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1998Monetary policy rules in practice 1992Interpreting the macroeconomic time series facts 1986Alternative Explanations of the Money-Income Correlation 1999Chapter 2 Monetary policy shocks: What have we learned and to what end?1986Are Forecasting Models Usable for Policy Analysis?

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2016Exchange Rate Pass-through to Domestic Prices 2017Inflation-Forecast Targeting for India

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