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.

Portfolio Composition and Valuation Effects in Emerging Market Economies

Abstract: The increase in cross-border assets and liabilities of nations with globalization, implies small asset price and currency movements create large wealth changes. The national net external position i...

Optimal Execution Size in Algorithmic Trading

Abstract: Execution of a large trade by traders always comes at a price of market impact which can both help and hurt the effective execution trade. A trading signal may help attract counterparties to reduce the time it takes to complete the trade and the trading cost. On the other hand, it may also attract parasitic/opportunistic traders who make the completion less likely or more costly. One possible solution which market design offers may include dynamic order submission strategies or trading off the exchange because such strategies limit the amount of information that is revealed about their trading intentions. But in the age of sophisticated automated trading the efficient strategy to avoid adversely moving the share price due to negative market impact, one can uses algorithmic logic to slice-up a Parent orders into tiny pieces (Child orders) across brief time bucket over execution horizon to make it look like they are retail. Also, to prevent pattern recognition and manipulation by parasitic traders, only part of the order is displayed at the trading space. We in this paper model optimal size of expected execution Child order which takes account of minimum market impact with reference to display size of the order in the dark pools environment.

The Comply-or-Explain Approach for Enforcing Governance Norms

Abstract: In recent years the comply-or-explain approach for enforcing corporate governance norms has gained ground in regulatory parlance. The comply-or-explain approach has the advantage of tailoring governance norms to specific characteristics of individual companies which is believed to lead to more efficient corporate governance outcomes compared to the "one size fits all" approach that is often argued to be inherent in the comply-or-else approach. Yet, the effectiveness of the comply-or-explain approach presupposes the existence of many institutional conditions like ownership and control structure of companies, responsibility and transparency of their financial operations, efficiency of stock markets, and ability and incentives of shareholders to assess corporate behaviour, all of which could take a long time to evolve and could be challenging especially for emerging economies. This article critically examines the relative advantages of the comply-or-explain approach vis-a-vis the more traditional comply-or-else approach and identifies the specific institutional conditions which are required for its success in achieving effective governance of companies.

The plutocratic bias in the Indian consumer price index.

Abstract: Studies have found a plutocratic bias in the traditional Laspeyres‐type consumer price index (CPI), attaching greater importance to expenditure by rich households compared to the poor, while the democratic CPI attaches equal weight to all. The authors calculate the democratic index and estimate the plutocratic bias for the new Indian CPI (launched in 2012), the rural and urban CPIs, and the CPIs of three Indian states from 2012 to 2015. They further develop democratic indices for commodity groups and separate indices for three expenditure brackets. The biases found against less developed states and the poorer sections of the population have important implications for monetary policy and indexation of transfer payments.

Term Premium in India

Abstract: This paper investigates the behavior of term premium in India in recent past. Stability of term premium is important for monetary transmission as expected, as variability in term premium will lead to unexpected movement in long-term rates when central bank changes short-term rates. In this paper, I try to find the determinants of term premium in India.