Estimation of Macro-financial Linkages for the Indian Economy

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2020-08-23 DOI:10.1177/0972652720927856

Shesadri Banerjee, J. Anand, S. Bhide

引用次数: 2

Abstract

The widespread impacts of global financial crisis (2008-09) reinstate the need for better assessment of the macro-financial linkages for forecasting and policy evaluation. Our paper contributes to the relevant literature with evidence from the Indian financial sector. Following Castelnuovo (2013), a New Keynesian model with macro-financial linkages is estimated by the Bayesian technique for the sample period 2004: Q3 to 2019: Q1. We find that, in an Emerging Market Economy like India, business cycle leads financial cycle through the channel of expectations. Further, our results show that the linkages are heterogeneous in size depending on the financial market segment and market-specific shocks. JEL Codes: C11, E44, G10

查看原文本刊更多论文

印度经济的宏观金融联系估计

全球金融危机（2008-09年）的广泛影响再次表明，需要更好地评估宏观金融联系，以便进行预测和政策评估。我们的论文通过印度金融部门的证据为相关文献做出了贡献。根据Castelnuovo（2013），通过贝叶斯技术对样本期2004:Q3至2019:Q1的具有宏观金融联系的新凯恩斯主义模型进行了估计。我们发现，在印度这样的新兴市场经济体中，商业周期通过预期的渠道引导金融周期。此外，我们的研究结果表明，根据金融细分市场和特定市场的冲击，这种联系在规模上是异质的。JEL代码：C11、E44、G10

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.