Lakdawala Aeimit, Pratap Bhanu, Sengupta Rajeswari
Wake Forest University, Winston-Salem, NC USA.
Reserve Bank of India, Mumbai, India.
Indian Econ Rev. 2023 May 20:1-31. doi: 10.1007/s41775-023-00171-2.
We investigate how the bond market responded to the Reserve Bank of India's (RBI) monetary policy actions undertaken since the start of the pandemic. Our approach involves combining a narrative analysis of the media coverage together with an event-study framework around RBI's monetary policy announcements. We find that the RBI's actions early in the pandemic were helpful in providing an expansionary impulse to the bond market. Specifically, long-term bond interest rates would have been meaningfully higher in the early months of the pandemic if not for the actions undertaken by the RBI. These actions involved unconventional policies providing liquidity support and asset purchases. We find that some of the unconventional monetary policy actions had a substantial signaling channel component where the market perceived the announcement of an unconventional monetary policy action as representing a lower future path for the short-term policy rate. We also find that the RBI's forward guidance was more effective in the pandemic than it had been in the couple of years preceding the pandemic.
我们研究了债券市场如何应对印度储备银行（RBI）自疫情爆发以来采取的货币政策行动。我们的方法包括将媒体报道的叙事分析与围绕RBI货币政策公告的事件研究框架相结合。我们发现，RBI在疫情初期的行动有助于为债券市场提供扩张性冲动。具体而言，如果没有RBI采取的行动，疫情初期的长期债券利率会显著更高。这些行动包括提供流动性支持和资产购买的非常规政策。我们发现，一些非常规货币政策行动具有重要的信号渠道成分，市场将非常规货币政策行动的宣布视为短期政策利率未来走低的信号。我们还发现，RBI的前瞻性指引在疫情期间比疫情前几年更有效。
