IS THERE ANY LINK BETWEEN COMMODITY PRICE AND MONETARY POLICY? EVIDENCE FROM INDIA
Keywords:
Commodity, Inflation, Interest Rate, GDP, Monetary Policy, Johansen Cointegration, VECM and Granger CausalityAbstract
The aim of this study is to examine the role of the commodity price for predicting GDP, Inflation, Interest rate, and Money Supply in India. This paper attempt to analyze the relationship between commodity prices with GDP, Inflation, Interest rate, and Money Supply. This paper used advanced time series econometric models such as cointegration (Johansen), Vector Error Correction Model (VECM), and granger causality.Empirical evidence indicates that commodity price indices are helpful to predict GDP and Inflation. The findings of this study can be helpful in important implication for monetary authority. Empirical results provide that non-monetary information variables can be useful in predicting some monetary variables.
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