Household India: Monetary Policy to Household Consumption

Description

This study employs high-frequency household panel data, sentiment indices, and exogenous monetary policy shocks to identify a key behavioral channel in the transmission mechanism. The data is sourced from the CPHS, a private subscription-based database, and has been uploaded here solely for the purpose of replicating our analysis in the paper titled “When Optimism Shields and Pessimism Amplifies: Sentiment-Driven Transmission of Monetary Policy to Household Consumption in India.” Please note that the dataset must not be used for any purpose other than replication of this study.

Steps to reproduce

Instructions for replicating the results: Use the folder “Data and Do files – Not to be shared with public” 1. Open the Data file “HH Data. DTA” in the Stata 18 version, along with the Do file. 2. For replicating Tables 4-5, execute the commands given in the Do file. The ordering of the tables is highlighted in green in the Do file. 3. For computing local projection impulse responses, as shown in Figs. 3(a)-(b), 4(a)-(d), 5(a)-(b), 6(a)-(b), and 7(a)-(b) in the main draft and Figs. 1A(a)-(b) to 5A(a)-(b) in the online supplementary file, execute the commands for local projection as shown in the Do file. Keep in mind that: • The ordering of the figures is highlighted in green in the Do file. • While in the command, the title of all IRF graphs is the same (Response of Consumption to 1pp shock to MPS), they were later changed using the graph editor for every respective dependent variable. For example, for Fig. 5(a), the title of Ln (Durables) was changed to “Response of Durables to 1 pp shock to MPS (Optimistic Households)”. Similarly, for Fig. 5(b), the title was “Response of Durables to 1 pp shock to MPS (Pessimistic Households)”, as shown in the main draft, and so on. Furthermore, the red dotted line is also plotted on the x-axis for every graph.

Institutions

• Management Development Institute

  Haryana, Gurugram
• Indian Institute of Management Lucknow

  Uttar Pradesh, Lucknow

Categories

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