Titlebook: Macroeconometric Methods; Applications to the Pami Dua Textbook 2023 The Editor(s) (if applicable) and The Author(s), under exclusive lice

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Macroeconomic Modelling and Bayesian MethodsThis paper discusses the evolution of macroeconomic modelling. In particular, it focuses on Bayesian methods and provides some applications of the Bayesian vector autoregression methods to the Indian economy. This paper is based on my Presidential Address to the 52nd Annual Conference of the Indian Econometric Society.

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Monetary Policy Framework in India setting the policy rate. With this step towards modernization of the monetary policy process, India joined the set of countries that have adopted inflation targeting as their monetary policy framework. The Consumer Price Index (CPI combined) inflation target was set by the Government of India at 4%

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Determinants of Yields on Government Securities in India bills with residual maturity of 15–91 days and government securities of residual maturity 1, 5 and 10 years. The empirical estimates show that a long-run relationship exists between each of these interest rates and the policy rate, rate of growth of money supply, inflation, interest rate spread, fo

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Forecasting the INR/USD Exchange Rate: A BVAR FrameworkDua and Ranjan (., .) model by including the domestic–foreign differential of the rate of return in stock prices as well as global oil prices as determinants of the exchange rate in addition to monetary model fundamentals (i.e. differential in money supply, interest rate and inflation), forward prem

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Forecasting India’s Inflation in a Data-Rich Environment: A FAVAR StudyI and CPI measures of inflation. Factors are extracted for determinants of inflation such as output, monetary and credit indicators, interest rate, fiscal indicators, exchange rate, minimum support prices, food inflation, rainfall and foreign inflation using 117 economic time series. The study furth

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A Structural Macroeconometric Model for Indiary, price and external sector and 14 behavioural equations (and five identities) which are estimated using two stage least squares from 1996 Q2 to 2010 Q4. The observations from 2011 Q1 to 2013 Q2 are used for out-of-sample forecasting performance. The model is a modified and extended version of the