Indian Institute of Technology Hyderabad (IITH) is a premier institute of science and technology established in 2008. IITH has been consistently ranked in the&nbsp;<a href="https://iith.ac.in/reports/" rel="noopener noreferrer">top 10 institutes</a>&nbsp;in India for Engineering&nbsp;<a href="https://www.nirfindia.org/2021/EngineeringRanking.html" rel="noopener noreferrer" target="_blank">according to NIRF</a>&nbsp;making it one of the most coveted schools for science and technology in the country.

IITH offers&nbsp;<a href="https://iith.ac.in/academics/under-graduate/">undergraduate programs</a>&nbsp;in all the classical engineering disciplines, applied sciences, design, as well as several modern interdisciplinary areas. Students are given a flexibility to explore a broad set of areas, and potentially pursue a minor or double major in a discipline that is not their own. Students who wish to seek a deeper understanding of their own discipline are strongly encouraged to get involved in cutting-edge research with the help of a faculty to mentor them, and earn an Honors in their own field.

The very foundation of IIT Hyderabad is based on&nbsp;<a href="https://iith.ac.in/research/">research and innovation</a>. The vibrant research culture is evident from the number of patents and publications that IITH produces consistently every year. IITH offers&nbsp;<a href="https://iith.ac.in/academics/programmes-offered/">graduate programs</a>&nbsp;at both a masters, and a doctoral level, in several diverse areas. There are separate programs for technology, design, science, and liberal arts. The&nbsp;<a href="https://iith.ac.in/academics/post-graduate/">MTech program</a>&nbsp;is offered in various modes and durations to cater to the ever-growing need of postgraduate level professionals in the country.

IITH encourages and supports&nbsp;<a href="https://iic-iith.netlify.app/index.html" rel="noopener noreferrer" target="_blank">innovation and entrepreneurship</a>&nbsp;at every stage. The minor program in entrepreneurship is open to all students of IITH, and many of the courses are offered by industrialists who are entrepreneurs themselves. There are various&nbsp;<a href="https://iith.ac.in/research/centres-incubators/">innovation centers and incubators</a>&nbsp;that promote entrepreneurship and help mentor young innovators. IITH has been very successful in building tie-ups with leading academic institutions around the globe.

IITH enjoys a very special relationship with Japanese universities and industries that goes beyond academic and research collaborations. In fact, some of the iconic buildings in IITH campus will carry the signature of Japanese architecture.

IITH creates a unique holistic ecosystem for education that offers interactive learning, a very flexible academic structure, cutting-edge research, strong industry collaboration, and entrepreneurship. This is an environment which enables students and faculty to translate their dreams into realities.

IIT Hyderabad

This paper empirically examines the impact of the price of crude oil petrol and palm oil on Indonesia's output. Using quarterly data from 2000Q1 to 2019Q2 and both linear and non-linear autoregressive distributed lag approaches to cointegration, we find: 1) a significant non-linear effect of oil prices on the country's output; 2) a decline in prices of oil can have a greater impact on the country's output as compared to an increase in oil prices; and 3) the palm oil price changes have a bigger effect on the country's output compared to petroleum price. © 2020 Bank Indonesia Institute. All right reserved.

Department of Liberal Arts

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Buletin Ekonomi Moneter dan Perbankan

Asymmetric effect of crude oil and palm oil prices on Indonesia's output

Purpose: This paper aims to investigate the interrelations between purchasing power parity (PPP) and uncovered interest parity (UIP) in BRICS economies, namely, Brazil, Russia, India, China and South Africa, by checking the validity of the capital-enhanced equilibrium exchange rate (CHEER) approach. Further, this study tests whether the CHEER results are data frequency-dependent. Design/methodology/approach: The present study uses monthly data ranging from 1997M01 to 2016M12 and considers the US economy as the representative foreign country. The study uses structural break unit root test and structural break cointegration technique to test the presence of economic relationships between nominal exchange rates and each of the price and interest rate differentials. Then, the study examines the validity of the CHEER approach by testing the appropriate theoretical restrictions. Findings: The cointegration results suggest the existence of two cointegrating vectors representing UIP and PPP conditions. For all countries, the data appear to support the hypothesis that the system contains UIP and PPP relations. However, each of the international parity hypotheses is strongly rejected when formulated in isolation and jointly, leading to repudiation of the CHEER validity. Further, it is found that the results are data frequency-dependent and suggest that higher frequencies should be used as they provide additional information. Originality/value: First, the literature on equilibrium exchange rates in BRICS economies is scanty. BRICS economies are large-emerging economies and one of the fastest growing economies and thus entail an empirical enquiry on their exchange rates. Second, the empirical application has mainly used monthly data to test the validity of the CHEER approach. However, data frequencies could affect the results. To the best of the authors’ knowledge, this study is the first to check data frequency-dependency in examination of the CHEER approach. © 2020, Emerald Publishing Limited.

Studies in Economics and Finance

Testing deviations from PPP and UIP: evidence from BRICS economies

Purpose: This paper aims to investigate whether the interest rate differentials Granger cause expected change in the exchange rate during the COVID-19 period. The study examines if the investors in the international assets and exchange rate markets take advantages of the relevant information obtained during the COVID-19 pandemic. Design/methodology/approach: This paper used daily data ranging from January 31, 2020 to June 30, 2020 and considered BRIICS economies. The study implemented the Toda–Yamamoto’s Granger causality approach to identify the causality between interest rate differentials and exchange rates. For robustness checks, the study used ARLD short-run dynamics to infer causal relations. Findings: Overall, the results indicate that the interest rate differentials improve the predictability of subsequent exchange rate changes in all six BRIICS economies during the COVID-19 period wherein investors are forward-looking. The empirical results pass the robustness checks. Originality/value: There is a lack of studies exploring the relationship between interest rate differentials and exchange rates in the presence of an unanticipated event such as the current pandemic. To the best of the authors’ knowledge, this is the first study to explore the causal linkages between interest rate differentials and expected change in exchange rates, focusing on the COVID-19 outbreak period. © 2020, Emerald Publishing Limited.

The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic

The study empirically investigates the effect of financial integration (FI) on business cycle synchronization (BCS) in the Indian context. Using concordance index, dynamic conditional correlation, and 3SLS, we find: (1) India's business cycle is significantly synchronized with nine economies (2) The evaluation of BCS shows a higher synchronization with the five economies (3) FI, directly and indirectly, reduces BCS (4) The direct effect of FI occurs through wealth effect, in most cases, indicating dominance of portfolio diversification against portfolio rebalancing associated with balance sheet effect (5) FI reduces the BCS, indirectly through intra-industry trade and differences in economic specialization. © 2019 Elsevier B.V.

Economic Modelling

Business cycle synchronization: Disentangling direct and indirect effect of financial integration in the Indian context

This article measures the trade interconnectedness among countries before and after the COVID-19 outbreak, and forecasts the future direction of trade. Using Trade Network Analysis and Artificial Neural Networks, our findings show that: (1) There is a drastic reduction in trade interconnectedness, connectivity, and density among countries after the COVID-19 outbreak. (2) There is a visible change in the structure of trade-network (3) China’s ‘center’ position in the trade network is not affected by the pandemic. (4) There will be a drastic decline in trade of most of the economies until December 2020. © 2020 Taylor & Francis Group, LLC.

Emerging Markets Finance and Trade

Implications of COVID-19 Pandemic on the Global Trade Networks

This paper empirically tests the dynamics of credit cards and monetary policy in the context of Indonesia. Using monthly data from 2006 to 2018 and a structural vector autoregressive model, our findings indicate that credit card usage is mainly driven by Indonesia's fast economic growth over the last decade, which indeed reflects the role of credit cards in consumption smoothing. The study also finds that monetary policy transmission through the lending channel is weak, with a more prevalent role for exchange rates and global oil prices in the transmission process. © 2019 Bank Indonesia Institute. All Rights Reserved.

Monetary policy transmission and credit cards: Evidence from Indonesia

This paper empirically analyzes the dynamic relationship between business cycle, investment-specific technology shocks, and stock returns in the Indian context. Using Structural VAR technique the study finds: (1) business cycle shocks and stock market returns are more pronounced, especially during the financial market liberalization (2) the dominant role of global cycles over country cycles in explaining stock returns (3) interest rate plays an important role to interact the business cycle dynamics and stock returns (4) a relatively weak effect of investment-specific technology shocks on the business cycle and stock returns. © 2017 Elsevier B.V.

Do business cycles, investment-specific technology shocks matter for stock returns?

This article examines the validity of the capital-enhanced equilibrium exchange rate (CHEER) approach using quarterly data ranging from 1993Q1 to 2016Q2. Using unit root break test and structural break cointegration technique, our overall results indicated that the CHEER is invalidated once a structural break is accounted for in the cointegration relationship. The rejection of the validity could be attributed to the asymmetry in the capital flows and exchange rates being not fully flexible. © 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group.

Applied Economics Letters

Capital-enhanced equilibrium exchange rate: evidence from India

We examine the solvency of India’s current account (CA) in the post-liberalization period using intertemporal optimization approach to the CA. Using quarterly data ranging from 1996Q1 to 2014Q2, we estimate a benchmark consumption-smoothing model and an extended model that incorporates external shocks. Overall, we find that the predicted optimal CA in both the models can track the actual CA movements and the extended model performs better over the benchmark model. Further, we also find that the optimal CA is more volatile than the actual CA which implies that the capital flows have been less than optimal and thus makes an interesting case for further liberalization of the capital account. Our findings suggest that policies aimed at further liberalization of capital flows will allow larger CA deficits to achieve higher economic growth since it will help agents to further smoothen their consumption without worrying about risks associated with insolvency. © 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group.

Applied Economics

External shocks, consumption-smoothing and capital mobility in India: evidence from an intertemporal optimization approach

Since the reforms of early 1990s, India has run persistent current account deficits that reached as high as 4.8% of GDP in 2012-13. This paper examines the domestic macroeconomic and external factors that have driven India's current account behavior during the 1997–2012 period. Using quarterly data, we apply autoregressive distributed lag and error correction techniques to estimate a model based on the intertemporal approach to the current account. We find evidence in support of the twin deficits hypothesis suggesting that reduction in the fiscal deficit could help to ameliorate the deficit in the current account. Further, we find that contrary to the Feldstein-Horioka hypothesis, domestic saving does respond to increases in domestic investment, and we support efforts to encourage saving in order to simultaneously sustain strong investment and ease the deficit in the current account. © 2017 Elsevier Inc.

Journal of Asian Economics

Drivers of India's current account deficits, with implications for ameliorating them

This paper investigates the stock market reaction to investor mood swings resulting from the Indian Premier League (IPL) cricket matches. We find that stocks listed on the Bombay Stock Exchange (BSE) that sponsor the IPL cricket are unaffected by the cricket matches. This finding is robust along two lines: (a) the effect is insignificant both statistically and economically which we demonstrate using a simple trading strategy; and (b) results hold across a wide range of portfolios. Our results, both statistical and trading strategy-based, suggest that the portfolios of companies that sponsor cricket in India are efficient. Our findings stand in sharp contrast to the evidence obtained by the broader sports literature suggesting that sports actually impact stock returns, driven principally by psychological factors. © 2016 Elsevier B.V.

Emerging Markets Review

What is the value of corporate sponsorship in sports?

This article provides an empirical investigation of the causal relationship between the current account (CA) and the capital account (KA) in the case of Indian economy. The results indicate the nonexistence of causal relationship between the CA and the KA. Furthermore, we examine the causal relations between the components of the KA and the CA along with exchange rate as the linking factor between them. The causal findings, in the above mentioned case, show different results. Our finding suggests that there exist a causal relationship from Nondebt flows to the CA via the real effective exchange rate. This implies that decomposition of the KA helps in identifying the source of flows that drives the CA the most. The results also indicate that volatile capital flows may deteriorate the CA balance and therefore, emphasis should be laid on improving the soundness of the financial sector before moving towards the full KA convertibility. © 2014 Taylor & Francis.

Causal relationships between the capital account and the current account: an empirical investigation from India

In this paper, using a range of technical trading and momentum trading strategies, we show that the Indian stock market is profitable. We find robust evidence that investing in some sectors is relatively more profitable than investing in others. We show that sectoral heterogeneity with respect to profitability is a result of the gradual diffusion of information from the market to the sectors. Specifically, we show that while the market predicts returns of sectors, the magnitude of predictability varies with sectors. Our results are robust to a range of trading strategies. © 2014 Elsevier B.V.

Pacific Basin Finance Journal

How profitable is the Indian stock market?

In this paper we examine the dynamic relationship between stock returns and mutual fund flows in India by using a generalised VAR model. We find that spillover shocks-that is, stock return shocks and mutual fund flow shocks together explain as much as 20% of the total forecast error variance of stock returns and mutual fund flows. We create a spillover index of shocks emanating from stock returns and mutual fund flows and tests whether it can actually predict stock returns and mutual fund flows. We find it does. Using the spillover index, we forecast stock returns and mutual fund flows, devise trading strategies for a mean-variance investor, and demonstrate the economic significance of the spillover index. © 2014 Elsevier B.V.

Stock returns, mutual fund flows and spillover shocks

This paper puts forth a Neo-Kaleckian open economy model of two countries in order to investigate adjustment of US-China external imbalances. First, a stylized fixed mark-up model is presented, and discussed based on graphical analysis. Second, we present estimates of bilateral income and price elasticities of imports. Third, we employ the model for simulation analysis. Specifically, we randomly distribute expenditure change across government, investment and imports and calculate the exchange rate change necessary to lead to an equal change in the bilateral external imbalance. Doing so repeatedly allows us to estimate probability distributions of endogenous variable changes. © 2013 Copyright Taylor and Francis Group, LLC.

International Review of Applied Economics

Rebalancing through expenditure and price changes

This paper empirically determines the optimal level of international reserves for India by explicitly incorporating the country's sovereign risk associated with the default on external debt. The optimum level of reserves is determined by minimizing the central bank's cost function, which consists of costs due to high reserve holdings and costs due to reserve depletion. The simulated optimum reserves for the period 1994-2010 indicate that actual reserves are higher than the optimum value across the sample period, except during 1997-1998. © 2013 Elsevier Inc.