Please use this identifier to cite or link to this item:
https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/13875
Title: | A Var Approach to Estimate Financial Conditions Indexes for India |
Authors: | Ammar Hafeez Sujata Kar |
Keywords: | Financial Conditions Index Granger Causality Test Impulse Responses Vector Autoregressive Model. |
Issue Date: | 2017 |
Publisher: | Journal of Management Entrepreneurship (JME) |
Abstract: | This paper attempts to construct monthly financial conditions indexes {FC/s) for India using VAR models. The FC/s are expected to reflect financial fragility or soundness of an economy. Two alternative indexes were calculated with data on variables from 6 different markets for a period of 2001:1 - 2016:1. FCI {WP/) was constructed with impulse responses generated through shocks to a real sector variable, WP/ inflation, while FCI {NEER) had responses from shocks to nominal effective exchange rate {NEER). The indexes were assessed in terms of their causal relationship with macroeconomic indicators like GDP and /IP growth rates, and directional predictions with respect to financial variables. Strong bi-directional causality was observed between the indexes and the macroeconomic indicators while good directional predictions were obtained against only SENSEX and NEER, and percentage changes in them. More specifically, FCI {WP/} recorded very good co-movements with respect to SENSEX. |
URI: | http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/13875 |
Appears in Collections: | Articles to be qced |
Files in This Item:
File | Size | Format | |
---|---|---|---|
A VAR Approach to Estimate Financial.pdf Restricted Access | 3.74 MB | Adobe PDF | View/Open Request a copy |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.