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Browsing by Author "Arora, Sanchit"

Browsing by Author "Arora, Sanchit"

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  • Deriving India's potential growth from theory and structure 
    Goyal, Ashima; Arora, Sanchit (2012-09)
    Estimates suggest that Indian aggregate supply is elastic but subject to upward shocks. If supply shocks make a high persistent contribution to inflation, it implies second round pass through is occurring, implying growth ...
  • Estimating the Indian natural interest rate and evaluating policy 
    Goyal, Ashima; Arora, Sanchit (2013-09)
    We estimate the unobserved time-varying natural interest rate (NIR) and potential output for the Indian economy using the Kalman Filter. Estimation is a special challenge in an emerging market because of limited length of ...
  • The Indian exchange rate and central bank action: A GARCH analysis 
    Goyal, Ashima; Arora, Sanchit (2012-06-01)
    We study, with daily and monthly data sets, the impact of conventional monetary policy measures such as interest rates, intervention and other quantitative measures, and of Central Bank communication on exchange rate ...
  • A Systematic approach to identify systemically important firms 
    Aggarwal, Natasha; Arora, Sanchit; Behl, Akhil; Grover, Rohini; Khanna, Shashwat; Thomas, Susan (2013-10)
    This paper uses the average of the percentile ranking of three measures of systemic risk { Granger Causality, Marginal Expected Shortfall,and Conditional Value at Risk { to calculate a single systemic risk index (SRI) for ...