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Advisor to Executive Director, IMF and Assistant Adviser, Department of Economic Analysis & Policy, Reserve Bank of India respectively. This paper is a slightly modified version of a presentation made by the authors in the Seminar on “Reforms, Institutions and Policies: Challenges Confronting the Indian Economy” held at Mumbai University during March 22-24, 2001. Authors are thankful to Dr. Balwant Singh, Dr. Kaushik Bhattacharya, and Ms. Kalpana Kochhar for their comments on the earlier draft of this paper. However, views expressed are authors’ own.
For short term rates, yields for residual maturities for up to 14 days, 15-91 days, 92-182 days, 183-364 days and one year were also studied. Predictive ability has been maximum in case of 2-3 months.
|Industrial Growth Rate||-3.21||I(0)|
|Industrial Growth Rate||-3.21||I(0)|
Since secondary market yields for these maturity are not available for the period prior to 1996, for the sake of increasing the number of observations, spread has been computed by using call rates and weighted average coupon rate (on dated government securities), for this exercise.