Volume 18, No. 6, 2021

Integration Of Indian Money Market In The New Monetary Policy Framework Regime Of 2011: An Empirical Analysis

Dr. Sonia Goel , Dr. Suvojit Lahiri Chakravarty , Dr. Arjun Mittal


Monetary Policy operates through the money market. It therefore becomes important to see if the sub markets of the money market are integrated. It is in this context that we shall study if market integration amongst the sub markets of the Indian Money Market (IMM) in the long run has taken place or not subsequent to the new Monetary Policy framework of 2011. The period of study is from January 2011 to March 2021. The econometric methodology begins with tests of stationarity, which is a prior before setting up Vector Autoregressive Model. The possibility of a cointegrating relationship between the variables is tested using the Johansen and Juselius (1990, 1992) methodology to draw inferences about long run relationship. The various sub markets of money market have shown high degree of integration between them.

Pages: 9140-9154

Keywords: Monetary Policy Framework; market integration; sub markets; co-movement of interest rates

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