Research

Abstract: Inflow of foreign capital to bond markets in emerging economies has reduced long term yields, making capital cheaper in these economies. This paper finds evidence from Mexico that the increase in foreign ownership of local currency denominated Mexican government bonds reduced monetary policy transmission to the short end of the government bond yield curve. This highlights a trade-off between lower yields and reduced monetary policy transmission. Further, transmission of shocks from the short end to the long end of the yield curve improves. This paper measures changes in monetary policy transmission over time by changes in the cumulative impulse responses of interest rates and these changes are found to be related to changes in the share of foreign owned bonds. The reduction in transmission is explained with a model of domestic and global financial intermediaries, both of whom invest in domestic long-term bonds, but differ in their source of funds. Global intermediaries who access funds at a global interest rate do not change their demand for domestic long-term bonds in response to changes in the domestic policy rate, reducing the response of domestic yields to changes in the policy rate. Instrumenting for the proportion of bonds held by foreigners, the paper also finds that increased foreign ownership has a heterogeneous impact on yields in Mexico. Estimates indicate a rise in short term yields and fall in long term yields.

Abstract: The Reserve Bank of India (RBI) started a monetary policy in December 2019 called Special OMOs. The RBI has conducted 24 such Special OMO auctions between December 2019 and May 2021 with the objective of flattening the yield curve. This paper uses event studies and intervention analysis and finds that Special OMO announcements reduced the slope of the Indian government bond yield curve by 79.8 bps from December 2019 until May 2021. It is also found that this change in slope is driven by changes in the short end of the yield curve combined with no change at the long end. This is explained theoretically by combining Market Segmentation hypothesis and Euler equations. Further analysis of individual announcements show that only a few of the Special OMO announcements resulted in significant changes in the yields and yield curve slope.

Abstract: The Federal Reserve Board started a strategy review at the beginning of 2025 and intends to complete by late summer of 2025. After its only previous review, the Federal Open Market Committee adopted a far-reaching Revised Statement on Longer-Run Goals and Monetary Policy Strategy in August 2020. We analyze and develop policy rules that are either in accord with the original 2012 statement or inspired by the revised 2020 statement and use the rules to evaluate monetary policy using the Federal Reserve Board/United States model. We evaluate policy rules categorized by traditional, shortfalls, Asymmetric Coefficient Inflation Targeting, and Asymmetric Target Inflation Targeting versions of non-inertial and inertial Taylor and balanced approach rules. Economic performance is better with balanced approach rules than with Taylor rules, worse with shortfalls rules than with traditional rules, better with inertial rules than with non-inertial rules, and better with the two asymmetric inflation targeting rules than with traditional rules. 

• Moving South: Comparative Analysis of the Patterns of Migration into South Indian States (slides)

• Nayak, S., & Nidhiri, S. B. (2019). From Rivalry to Antipathy Amid Sports Enthusiasts in Individual Sports: A Case of the Seles-Graf Rivalry. In Understanding Rivalry and Its Influence on Sports Fans (pp. 114-134). IGI Global.

• ˆ Nidhiri, S. B., & Saxena, S. (2019). Social Media Analytics for Maintaining Financial Stability. In Maintaining Financial Stability in Times of Risk and Uncertainty (pp. 219-242). IGI Global.

• ˆ Goswami, P., Liongs, B. & Nidhiri, S.B. (2016). Report on Citizen Monitoring of PMGSY Roads. Public Affairs Centre.