School of Economics

Permanent URI for this community

https://dspace.uohyd.ac.in/handle/1/19

Browse

Browsing School of Economics by Author "Ajaz, Taufeeq"
  • Item
    Inflation and openness in India: An asymmetric approach
    ( 2016-03-23) Ajaz, Taufeeq ; Nain, Md Zulquar ; Kamaiah, Bandi
    This paper examines the dynamic relationship between inflation and openness from 1970 to 2014 in the Indian context. In the first of its kind, this paper investigates the relationship within a nonlinear framework by employing NARDL cointegration test due to Shin, Yu, and Greenwood Nimmo (2014). The empirical results show that there is asymmetry in the relationship between openness and inflation both in short-run as well as in long-run. However, overall a positive relation (though weak) holds between inflation and openness and hence refutes well known Romer (1993) hypothesis that inflation falls with openness. The results further showed a positive relation between inflation and other variables in the study. The overall response of inflation towards the positive and negative changes in explanatory variables differed significantly.
  • Item
    Stock prices, exchange rate and interest rate: evidence beyond symmetry
    ( 2017-01-01) Ajaz, Taufeeq ; Nain, Md Zulquar ; Kamaiah, Bandi ; Sharma, Naresh Kumar
    Purpose: This paper aims to examine the dynamic interactions between monetary and financial variables in the Indian context. Design/methodology/approach: In this paper, the authors have applied a recently developed asymmetric autoregressive distributed lag (ARDL) model by Shin et al. (2014), for detecting nonlinearities focusing on the long-run and short-run asymmetries among economic variables. Findings: The results point toward the presence of asymmetric reaction of stock prices to changes in interest rate and exchange rate in full sample, as well as in pre-crisis. However, no asymmetry was found in the post-crisis period. The results further suggest that tight monetary policies appear to retard the stock prices, more than easy monetary policies that stimulate them. Practical implications: The findings of the study can be helpful in understanding the policy transmission mechanism through asset price channel. Originality/value: To the best of the authors’ knowledge, this is the first study that examines the interactions between monetary and financial variables in the Indian context in an asymmetric framework. The findings of this study are quite interesting and are different from several existing studies in the literature.
  • Item
    Stock prices, exchange rate and interest rate: evidence beyond symmetry
    ( 2017-01-01) Ajaz, Taufeeq ; Nain, Md Zulquar ; Kamaiah, Bandi ; Sharma, Naresh Kumar
    Purpose: This paper aims to examine the dynamic interactions between monetary and financial variables in the Indian context. Design/methodology/approach: In this paper, the authors have applied a recently developed asymmetric autoregressive distributed lag (ARDL) model by Shin et al. (2014), for detecting nonlinearities focusing on the long-run and short-run asymmetries among economic variables. Findings: The results point toward the presence of asymmetric reaction of stock prices to changes in interest rate and exchange rate in full sample, as well as in pre-crisis. However, no asymmetry was found in the post-crisis period. The results further suggest that tight monetary policies appear to retard the stock prices, more than easy monetary policies that stimulate them. Practical implications: The findings of the study can be helpful in understanding the policy transmission mechanism through asset price channel. Originality/value: To the best of the authors’ knowledge, this is the first study that examines the interactions between monetary and financial variables in the Indian context in an asymmetric framework. The findings of this study are quite interesting and are different from several existing studies in the literature.