Data Set for Conditions Governing Monetary Policy Transmission in India
Description
The study hypothesizes that financial stress significantly conditions monetary policy transmission in India, with the effectiveness of monetary policy potentially changing beyond a critical stress threshold. The dataset comprises quarterly Indian macroeconomic and financial observations covering 1996Q1–2024Q4. It includes variables such as real GDP, CPI inflation, the repo rate, bank credit, banking-sector indicators, bond yields, exchange rates, equity-market indicators, money supply (M3), and liquidity measures. The data were compiled from secondary sources, including official statistical and financial-market databases, and organized into a consistent quarterly time series. A Financial Stress Index (FSI) was constructed using a Dynamic Conditional Correlation GARCH approach. Preliminary threshold analysis identifies specification-dependent estimates: 0.135 in the baseline four-variable model and 0.089 in the seven-variable model. The latter provides evidence of nonlinearity (bootstrap p-value = 0.034). These findings suggest that financial stress may influence monetary transmission differently across regimes, although thresholds require specification-sensitive interpretation.
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Steps to reproduce
In the data collection and source brief file, detailed data curation or transformation, along with a link, is documented.
Institutions
- Indian Institute of Management KozhikodeKerala, Kozhikode