Purpose

A change in monetary operating procedures provides a natural experiment which is used to evaluate, first, whether Indian monetary policy transmission is better when durable liquidity is in surplus or when it is in deficit; second whether it is better with interest rates as the policy instrument or quantity of money or a mixture of the two.

Design/methodology/approach

This study first shows that the period of analysis can be divided into two separate regimes one of liquidity surplus (2002–2010) and the other of deficit (2011–2019).This study then estimates separate structural vector auto-regressions (SVARs) for the financial and real sector, with relevant exogenous foreign, policy and other variables for each of the periods as well as SVARs for the whole period with alternative operating instruments.

Findings

Monetary transmission from the repo rate was better during the period the liquidity adjustment facility (LAF) was in surplus with the central bank in absorption mode denoting excess durable liquidity. Pass through was faster and the repo rate had a greater influence on other variables. The impact of the rate on output gap exceeds that on inflation. The weighted average call money rate was found to outperform others as the operating target. Monetary policy has evolved so that policy rates are more effective in transmission compared to money supply, but best results are when durable liquidity is also in surplus.

Originality/value

The results contribute to ongoing debates on the Indian monetary policy framework and give useful inputs for policy in emerging markets where research is scarce. They suggest keeping the LAF in deficit mode over 2011–19 was not optimal.

中文翻译：

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流动性管理和货币传导：印度的实证分析

目的

货币操作程序的改变提供了一个自然实验，用于评估，首先，当持久流动性过剩或赤字时，印度的货币政策传导是否更好；其次，将利率作为政策工具或货币数量或两者的混合是否更好。

设计/方法/方法

本研究首先表明，分析期可分为两个独立的制度，一种是流动性盈余（2002-2010 年），另一种是赤字（2011-2019 年）。然后，本研究估计单独的结构向量自回归 (SVAR)金融和实体部门，每个时期都有相关的外生外交、政策和其他变量，以及整个时期的 SVARs 以及替代操作工具。

发现

在流动性调整工具（LAF）盈余期间，回购利率的货币传导较好，中央银行处于吸收模式，表明持久流动性过剩。传递速度更快，回购利率对其他变量的影响更大。利率对产出缺口的影响超过了对通货膨胀的影响。发现加权平均通知货币利率优于其他经营目标。货币政策已经演变，因此与货币供应相比，政策利率在传导方面更有效，但最好的结果是持久流动性也处于盈余状态。

原创性/价值

这些结果有助于关于印度货币政策框架的持续辩论，并为研究稀缺的新兴市场的政策提供有用的投入。他们认为，在 2011-19 年期间将 LAF 保持在赤字模式并不是最优的。