Search results

1 – 2 of 2
Click here to view access options
Book part
Publication date: 10 November 2020

Moumita Paul and Siva Reddy Kalluru

This chapter examines the long-run and short-run spillover effects of US quantitative easing (QE) on the money market in India. The study adopts the autoregressive…

Abstract

This chapter examines the long-run and short-run spillover effects of US quantitative easing (QE) on the money market in India. The study adopts the autoregressive distributed lag bounds testing co-integration approach for monthly data from September 2008 to May 2019 to investigate the spillover impact. The results reveal that a 10% rise in US QE led to a 25 bps softening of the weighted average call rate and a 2–5 bps hardening of the Treasury Bill. This impact was beyond the active participation by the Reserve Bank of India on the policy rate and liquidity in the system during the QE episodes. It suggests that the Indian money market is susceptible to US QE.

Details

Financial Issues in Emerging Economies: Special Issue Including Selected Papers from II International Conference on Economics and Finance, 2019, Bengaluru, India
Type: Book
ISBN: 978-1-83867-960-6

Keywords

Click here to view access options
Book part
Publication date: 10 November 2020

Abstract

Details

Financial Issues in Emerging Economies: Special Issue Including Selected Papers from II International Conference on Economics and Finance, 2019, Bengaluru, India
Type: Book
ISBN: 978-1-83867-960-6

1 – 2 of 2