In this paper we ask if the perception investors have regarding ethical nature of the management per se influences their action. In order to check for rent seeking behaviour that could arise when there is negative perception regarding ethics, we look a single company’s management whose actions...

Model selection and model uncertainty go hand-in-hand. However, while there is uncertainty associated with the selection of any model, the context is paramount. This study is an illustration of issues surrounding model risk when pricing products whose payoff depends crucially on forward...

This study addresses operational issues in estimation of parsimonious term structure models. When using price errors, objective function in term structure estimation is a highly non-linear function of the parameters. This necessary entails using numerical optimization techniques for estimation,...

This study assesses and compares, on select criteria of evaluation, the time series of daily term structure estimates provided by the National Stock Exchange (NSE) [using the Nelson-Siegel (1987; NS) methodology] with author’s own estimates of NS, Svensson (1992; SV) and Cox-Ingersoll-Ross (1985; CIR)....

Output gap estimates are constructed for India using unobserved components model (UCM) approach on the lines of Watson (1986) and Kuttner (1994). Results from UCMs are not found to be any less sensitive to data revisions when compared to those from the Hodrick-Prescott filter. This, however,...

This study is part of an on-going work on assessing the information content of the term structure in India for future inflation, future short rates and real interest rates. In this part, first the Indian term structure is modeled using three alternative specifications and changes in slope of the...

In this study we present estimates of monthly and quarterly GDP for India starting 1983-84. Following the recommendations of the CSO (KK,2000) we interpolate annual GDP by economic activity using appropriate physical indications as the basis. Results are compared against the estimates provided...

In this study I present some evidence on the credit channel of monetary transmission in India. Using the set up of Bernanke and Blinder (1992) it is found that loans, investments and deposits of commercial banking system respond significantly to a monetary policy shock. Results to a positive...

This study is an attempt to formulate a monetary policy reaction function for India. In particular I model backward and forward looking Taylor and McCallum rules for the period post BoP crisis. It is found that backward-looking McCallum rule tracks the evolution of monetary base over the sample...

Results from newly developed unit roots tests of ERS (1996), PN (1996), NP (2001) and LM (1994) are compared against their traditional counterparts (ADF, PP and KPSS) on select Indian macroeconomic data. Results from ERS, PN and NP are broadly in agreement. However, using the general to specific...