{"title":"Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty.","authors":"Pawan Kumar, Vipul Kumar Singh","doi":"10.1007/s40953-022-00333-8","DOIUrl":null,"url":null,"abstract":"<p><p>The research aims to excavate the role of global (Fed Rate, Crude, Real Dollar Index) and endogenous economic variables (GDP and Consumer Price Index) in shaping the spillover amongst the major Indian Financial indicators, viz. Nifty Index, MCX Gold, USDINR, Govt. Bond 10Y maturity and agricultural index N-Krishi. To facilitate cross-comparison decomposition of time-varying spillover output generated from Time-Varying Vector Autoregression (TVP-VAR) with aggregation at three layers is performed. The research finds that Indian Financial Indicators are vulnerable to spillover shocks from global variables predominantly driven by Fed Rate and Real Dollar Index. USDINR turns out to be most sensitive to global shocks and transgresses the shock to other financial indicators. Importantly, persistently high inflation has brought volatility spikes in the directional spillover to financial indicators. Though spillover subsidence is observed post-2014, with an all-time high during GFC, a sudden spurt in all financial indicators has been observed post-Covid-19, with Govt. bonds showing a sporadic rise. An important observation relates to staunch spillover from GDP during GFC with reoccurrence post-Covid. Additionally, a closely knit spillover tie is observed among USDINR, N-Krishi, and Crude. The study is beneficial to RBI to proactively monitor the weakening rupee along with Fed tapering to manage the rising spillover post-Covid-19. The effort of RBI has to be reciprocated by the government in inflation targeting to reinforce the curbing efforts of rising shock spillover.</p>","PeriodicalId":42219,"journal":{"name":"JOURNAL OF QUANTITATIVE ECONOMICS","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9758468/pdf/","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"JOURNAL OF QUANTITATIVE ECONOMICS","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1007/s40953-022-00333-8","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
The research aims to excavate the role of global (Fed Rate, Crude, Real Dollar Index) and endogenous economic variables (GDP and Consumer Price Index) in shaping the spillover amongst the major Indian Financial indicators, viz. Nifty Index, MCX Gold, USDINR, Govt. Bond 10Y maturity and agricultural index N-Krishi. To facilitate cross-comparison decomposition of time-varying spillover output generated from Time-Varying Vector Autoregression (TVP-VAR) with aggregation at three layers is performed. The research finds that Indian Financial Indicators are vulnerable to spillover shocks from global variables predominantly driven by Fed Rate and Real Dollar Index. USDINR turns out to be most sensitive to global shocks and transgresses the shock to other financial indicators. Importantly, persistently high inflation has brought volatility spikes in the directional spillover to financial indicators. Though spillover subsidence is observed post-2014, with an all-time high during GFC, a sudden spurt in all financial indicators has been observed post-Covid-19, with Govt. bonds showing a sporadic rise. An important observation relates to staunch spillover from GDP during GFC with reoccurrence post-Covid. Additionally, a closely knit spillover tie is observed among USDINR, N-Krishi, and Crude. The study is beneficial to RBI to proactively monitor the weakening rupee along with Fed tapering to manage the rising spillover post-Covid-19. The effort of RBI has to be reciprocated by the government in inflation targeting to reinforce the curbing efforts of rising shock spillover.
期刊介绍:
The Journal of Quantitative Economics (JQEC) is a refereed journal of the Indian Econometric Society (TIES). It solicits quantitative papers with basic or applied research orientation in all sub-fields of Economics that employ rigorous theoretical, empirical and experimental methods. The Journal also encourages Short Papers and Review Articles. Innovative and fundamental papers that focus on various facets of Economics of the Emerging Market and Developing Economies are particularly welcome. With the help of an international Editorial board and carefully selected referees, it aims to minimize the time taken to complete the review process while preserving the quality of the articles published.