Munich Personal RePEc Archive

The Impact of Shocks on Core Inflation; Evidence from India

Sahu, Priyanka (2018): The Impact of Shocks on Core Inflation; Evidence from India.

[img]
Preview
PDF
MPRA_paper_86588.pdf

Download (879kB) | Preview

Abstract

This paper attempts to investigate the impact of demand and supply shocks on core inflation in India. Firstly, it calculates core inflation through asymmetric trim mean approach and secondly autoregressive distributed model is used to explain the dynamic effects of shocks on core inflation. Empirical findings based on ARDL bound test confirms the existence of long run relationship between core inflation with other macroeconomic variables and CUSUM and CUSUMSQ test show stability of coefficients in the model. Overall, the response of core inflation to demand shock is high in case of real variables as compared to monetary variables and its response to skewness-based supply shock is high as compared to food and fuel inflation.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.