RBI paper develops systemic liquidity index
A working paper, published by the Reserve Bank of India on June 25, constructs an index of liquidity conditions in Indian financial markets in order to better monitor liquidity risk.
The authors, Rabi Mishra, Jagan Mohan and Sanjay Singh, develop the index based on four variables; the difference between the call and repo rate, the difference between commercial paper rate and certificate of deposit rate, the forex market implied deposit rate and expectations about liquidity conditions. The
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