Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics

Gourishankar S. Hiremath ¹, Bandi Kamaiah ²

Affiliations
1 Gokhale Institute of Politics and Economics, BMCC Road, Pune 411004, IN
2 Department of Economics, University of Hyderabad, Hyderabad 500 046, IN

Abstract

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. Daily values of 38 indices from both National Stock Exchange and Bombay Stock Exchange are used. The results of the study confirm presence of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in volatility than the conventional ARCH-GARCH models.

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Debashis Acharya ¹, Bandi Kamaiah ¹

Affiliations
1 Department of Economics, Punjab University, Chandigarh - 160 014, IN

Abstract

The objective of the paper is to highlight the basic features of the theoretical and empirical approaches to money definition and bring together evidence drawn from the previous works. Accordingly, the various approaches to weighted monetary aggregates are discussed in detail and a critical evaluation of all the approaches presented. Studies focusing on financial innovations and Divisia monetary aggregates, and those in the Indian context are also reviewed.

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S. Mahendra Dev ¹, Shantanu Deshpande ¹, Bandi Kamaiah ²

Affiliations
1 Indira Gandhi Institute of Development Research, Bombay, IN
2 University of Hyderabad, Hyderabad, IN

Abstract

With the help of a simultaneous equation model this paper examines the factors influencing variations in the components of labour productivity in Indian agriculture across 53 NSS agro-climatic regions in three triennia viz., 1962-65, 1970-73 and 1975-78. The model is estimated separately for high and low labour productivity regions. The results show that cropping pattern, irrigation and percentage of area under rice crop were the dominant factors determining variations in yield, cropping intensity and man-land ratio respectively. However, the importance of these factors varied according as whether the region is a high or a low productivity region.

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Bandi Kamaiah , Parameswar Nandakumar , Hemanta K. Pradhan

Abstract

The earlier studies on the random walk behaviour of exchange rates used various tests of market efficiency which were developed to analyse stock markets [Poole (1967), Burt et al (1977)], In general, these studies found that floating exchange rates had not followed a random walk, a stochastic process in which successive changes are serially correlated.

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