Public goods
Dataset on Indian monetary policy surprises
In Mathur and Sengupta (2019), we construct a time series of monetary policy surprises for India. The series is calculated as the daily (closing) difference in the overnight indexed swap (OIS) rate at the one-month frequency, building on previous work by Kamber and Mohanty (2018) for China. In the graph below, we plot the monetary policy surprises for all the meetings of the monetary policy committee (MPC) till date, starting from their first meeting in October 2016. The colours of the bars represent the actual policy decision taken during the meeting: no change, increase, or decrease in the policy repo rate. The length of the bars (positive or negative) represents whether the announcement was a "surprise" for the market: longer bars imply bigger surprises. For example, just before the December 2016 meeting, market expectations were that of a rate cut due to demonetisation, but the decision was that of no change, leading to a tightening in OIS rates. The absence of bars indicates that the decision was fully anticipated, for example, in December 2018 and February 2020.
When the bars are in the same direction as the announcement, the magnitude of the repo rate change is the surprise. When there is no rate change, the direction of the surprise is indicative of what the market was expecting. For example, there was no change in repo rate in December 2019, which was a surprise to the market as it was expecting a rate cut (and hence the lack of a change implied a monetary tightening). On the other hand, the magnitude of the rate cuts in April 2020 and May 2020 was a surprise (see, for example, here).
The underlying dataset of the graph is available here in CSV and RDA formats. It can be cited as: Aakriti Mathur & Rajeswari Sengupta, 2019. "Analysing monetary policy statements of the Reserve Bank of India," IHEID Working Papers 08-2019, Economics Section, The Graduate Institute of International Studies.
The graph below shows the MP surprises for the dates of the monetary policy committee meetings under India's new Inflation Targeting Regime (2016 -- 2020).
The views expressed are solely of the author and should not be interpreted as reflecting the views of the Bank of England or any of its committees.