Indira Gandhi Institute of Development Research

About: Indira Gandhi Institute of Development Research is a facility organization based out in Mumbai, Maharashtra, India. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 307 authors who have published 1021 publications receiving 18848 citations.

Puzzles in Indian performance: deficits without disasters

Abstract: The paper explores puzzles in Indian growth performance such as the prolonged period of below potential growth in the late nineties. Uneven investment was a major explanation. Risk aversion and adverse expectations prevented investment from rising. Since sufficient domestic and foreign savings were available to compensate for government borrowing, the high fiscal deficit did not crowd out private investment or raise risk and interest rates. A sign of the absence of excess demand was that the fiscal deficit did not lead to a current account deficit. The problem was that, partly because of structural rigidities, monetary-fiscal policy was unable to create the conditions to absorb the foreign savings made available. High volatility in nominal interest and exchange rates raised risk and amplified exogenous shocks. The second factor raising uncertainty was that exposing manufacture to international competition was delayed too long. The smooth fall in Indian nominal interest rates after 2001, and rise in infrastructure spending, succeeded in stimulating higher industrial growth by 2003, and lowering fiscal deficits. Macropolicies can stimulate growth, make it easier to undertake deep reform, and the latter can reinforce growth, allowing it to reach potential.

Determinants of liquidity in open electronic limit order book market

Abstract: In the last decade, many emerging capital markets have undergone drastic changes in terms of market microstructure changes, specifically in secondary markets. One of the policy concerns is the improvement of liquidity in markets. We study the various determinants of liquidity with reference to Indian stock market. There is no consensus on the proxies of liquidity in the financial markets. We calculate impact cost as the proxy for liquidity. It captures the trade size information as well as price information. It is better than highly popular proxy, bid-ask spread, as it provides information beyond the inside quotes. We estimate the fixed effect panel data model to analyse the variation in level as well as volatility of liquidity. We show that 58% of the cross sectional and time series variation is captured by adverse selection risk proxies, inventory risk proxies, and time dummies. Even after controlling the firm specific factors, we still observe the annual and monthly systematic pattern in the liquidity in emerging stock markets.

On Measuring Group Differential : Some Further Results

Abstract: We impose a value judgment that a decrease in failure should be accompanied by a decrease in gap (difference or ratio) between sub-groups. In other words, the same gap at lower levels of failure is to be considered worse off. This, in line with transfer sensitivity axiom of poverty indices, is formalized by Mishra and Subramanian (2006) through two level-sensitive axioms in group differential measures. In addition, Mishra (2007) imposes an axiom of normalization. At a basic level it means that the group differential measure lies between zero and unity. However, at a fundamental level it should also mean that zero indicates no differential between the two sub-groups whereas unity indicates maximum differential between the two sub-groups. A group differential measure discussed in the above-mentioned two papers satisfied the level-sensitivity axioms but failed the normalization axiom at a fundamental level. Further, the comparison between two situations under this measure also happened to be dependent on the choice of some parameters. Both these problems are done away with in the measure proposed in this paper. Empirical illustration with infant mortality rate data for selected Indian states has also been given.

Global Crisis, Financial Institutions and Reforms: An Indian Perspective

Abstract: The relationship between finance and economic growth has witnessed a lively controversy and sharp divisions among schools of economic thought. However, even within the broad consensus recognizing the role of financial systems for economic development, important areas of disagreement persist, viz. the type of financial system most conducive to growth, private versus public ownership of financial institutions, the degree of regulation and supervision, the role of financial innovations and the pace and extent of financial liberalization. The Latin American crises of the 1980s and 1990s, the Asian financial crisis and the current global recession have once again brought the critical role of financial institutions under the scanner and introduced some important caveats to the consensus. The present chapter aims to take stock of some of these issues in the Indian context. While it is certainly not being claimed that the Indian experience is representative of the entire South Asian region, it is nevertheless felt that some of the lessons drawn here would have some relevance transcending their immediate context.

The Tale of One Market Inefficiency: Abnormal Returns Around GDR Issues by Indian Firms

Abstract: This article relates the experience of abnormal returns on the Bombay Stock Exchange surrounding the pricing date of GDR issues by Indian firms On 15 May 1994, empirical evidence suggesting that such abnormal returns do exist was released into the information set of agents in the financial industry Today, as many GDR issues have taken place after 15 May 1994 as had taken place before, and we can measure how this mispricing has changed We find that the extent of mispricing has dropped sharply: the highest point in the average cumulative returns in excess of the market index over the weeks preceding the pricing date have dropped from 189% for the 20 GDR issues before 15 May 1994 to 69% for the 26 GDR issues after this date This reduction in the extent of mispricing is consistent with our understanding of arbitrage by rational agents in financial markets