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022 _a2364-1045
100 _aSood, Saksham
_9123930
245 0 _aAsymmetric Impact of Monetary Policy on 10-Year G-Sec Yield in India
260 _bJournal of Quantitative Economics
260 _c2024
300 _a615-629
520 _aThis paper examines the asymmetric impact of monetary policy on central government’s 10-year g-sec yield using a non-linear autoregressive distributed lag model for the period Q1:2001–02 to Q4:2019–20. We find that monetary policy transmission to 10-year g-sec yield is partial and asymmetric in the long-run. A percentage point increase in the weighted average overnight call money rate (WACR) is, on an average, associated with 36–37 basis points rise in g-sec yield, whereas a percentage point fall in WACR leads to decrease in g-sec yield by 29–30 basis points. In the short-run, the asymmetric impact of WACR on the g-sec yield, though less conclusive, ranges between 18 and 20 basis points when WACR increases and 14–18 basis points when WACR decreases. The model includes market borrowings, GDP growth, crude oil price / inflation and yield on 10-year US government bonds as control variables. Our findings bear implications for monetary policy transmission to the real economy as well as for the market borrowing decisions of the fiscal authorities.
650 _a GDP Growth
_9123931
650 _a Government Securities
_9123932
650 _a Non-linear ARDL Model
_9123933
650 _a Yield
_9123934
650 _aMonetary Policy
700 _a Behera, Samir Ranjan
_9120219
700 _a Rath, Deba Prasad
_9120220
700 _a Seth, Bichitrananda
_9123935
856 _uhttps://doi.org/10.1007/s40953-024-00395-w
999 _c134633
_d134633