Index
Raktim Ghosh
(University of Gour Banga, India)
Bhaskar Bagchi
(University of Gour Banga, India)
Economic Policy Uncertainty and the Indian Economy
ISBN: 978-1-80455-937-6, eISBN: 978-1-80455-936-9
Publication date: 30 January 2023
This content is currently only available as a PDF
Citation
Ghosh, R. and Bagchi, B. (2023), "Index", Economic Policy Uncertainty and the Indian Economy, Emerald Publishing Limited, Leeds, pp. 167-170. https://doi.org/10.1108/978-1-80455-936-920221011
Publisher
:Emerald Publishing Limited
Copyright © 2023 Raktim Ghosh and Bhaskar Bagchi
INDEX
Alternate hypothesis
, 98
Autoregressive conditional heteroscedasticity (ARCH)
, 58
Autoregressive conditional heteroscedasticity–Lagrange multiplier test (ARCH-LM test)
, 18
Autoregressive distributed lag model (ARDL model)
, 10
Autoregressive model (AR model)
, 11
Autoregressive moving average (ARMA)
, 31
Bitcoin (BTC)
, 8
Bombay Stock Exchange
, 45–47
Bombay Stock Exchange Sensitive Index (BSE)
, 4, 37, 49, 52, 84, 65, 123
Bootstrap panel Granger causality test
, 17
Box plot
, 72, 85
Break point unit root test
, 24–25, 70, 73–78, 83, 88–95
Brent crude oil
, 67, 81
price
, 70
BSE Online Trading (BOLT)
, 46
China’s venture capital market (China’s VC market)
, 6
Co-integration test
, 95
Conditional distribution
, 29
Conditional mean
, 28–29
Conditional variance
, 29
Contagion
, 19
COVID-19 (coronavirus)
, 49
crisis
, 59–60, 113, 123
pandemic
, 3, 54, 66, 99, 104, 126
period
, 124
Crude oil price effects on Indian stock market and REER
, 70–82
Current account deficits (CAD)
, 68
DCC model
, 18
DCCGARCH model
, 15
Department of Industrial Policy and Promotion (DIPP)
, 41
Dickey–Fuller test
, 24
Dow Jones Islamic Market (DJIM)
, 4
Dynamic conditional correlation–MGARCH (1, 1) model (DCC-MGARCH(1, 1) model)
, 81–82
Dynamic conditional correlation–multivariate generalized autoregressive conditional heteroscedasticity model (DCC-MGARCH model)
, 5, 17, 22, 29–31, 70, 83, 124
Ease of Doing Business (EoDB)
, 43
Econometric tools
, 22
Economic policy uncertainty (EPU)
, 35–36, 49, 61, 84, 123
break point unit root test
, 24–25
context of
, 2
DCC-MGARCH model
, 29–31
descriptive statistics
, 51–53
FIGARCH (1, 1) model
, 58–63
FIGARCH model
, 31–32
Granger Causality Test
, 26
granger causality test
, 54–58
index
, 1, 36, 65
Johansen co-integration test
, 25
literature survey
, 4–21
MRS Model
, 27–29
objectives of study
, 22–23
research gaps
, 21–22
research methodology
, 23–24
significance of study
, 32–33
VECM
, 26–27
Wald Test
, 25–26, 53–54
Economic waves of Russia–Ukraine conflict
, 66–67
Economies
, 2, 11, 51, 66
Empirical data analysis and findings of study
breakpoint unit root test
, 88–95
descriptive statistics
, 84–88
FIGARCH (1, 1) model
, 112–116
granger causality test
, 102–106
Johansen co-integration test
, 95–98
MRS model
, 107–112
VECM
, 99–102
Wald test
, 98–99
European Union (EU)
, 7, 66, 128
EXIM Policy
, 40
Export-processing zones (EPZs)
, 39
External orientation of countries
, 39
Federal Reserve
, 69
Federal Reserve Economic Data (FRED)
, 23
Firms
, 35
Food Corporation of India (FCI)
, 68
Foreign direct investment (FDI)
, 2, 39, 41–43, 51, 84, 123, 125
Foreign portfolio investment (FPI)
, 2, 39, 43–44, 51, 84, 123
Foreign portfolio investors
, 43
Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity model (FIGARCH (1, 1) model)
, 58–63, 78–81, 112–116
Fractionally integrated generalized autoregressive conditional heteroscedasticity model (FIGARCH model)
, 22, 31–32, 70, 83, 124
Free-on-board (FOB)
, 68
Gaussian graphical model (GGM)
, 6
Generalized autoregressive conditional heteroscedasticity model (GARCH model)
, 5, 18, 59, 127
Genetically modified organism (GMO)
, 69
Global econometric model
, 7–8
Global economic policy uncertainty (GEPU)
, 10
Global vector autoregressive model (GVAR model)
, 16
Granger Causality Test
, 26, 51, 102–106
EPU
, 54–58
Granger causality Wald tests
, 19
Greece, Ireland, Portugal, Spain, and Italy (GIPSI)
, 9
Gross domestic product (GDP)
, 2, 45, 51, 84
Gross domestic product at factor cost (GDP at FC)
, 39, 123
India, effects of Russia–Ukraine conflict in light of
, 67–69
Indian economy
, 43, 49, 68, 123
Indian Oil Corporation (IOC)
, 68
Indian stock markets
, 49
Bombay stock exchange
, 45–47
crude oil price effects on Indian stock market and REER
, 70–82
export
, 39–40
foreign direct investment
, 41–43
foreign portfolio investment
, 43–44
gross domestic product
, 45
import
, 40–41
national stock exchange
, 47–48
T-Bill
, 44–45
Integrated GARCH model (IGARCH model)
, 31
International financial markets
, 67
International Monetary Fund (IMF)
, 127
Investment environment in India
, 43
Investors
, 35
Iterated cumulative sum of squares (ICSS)
, 27
Jarque–Bera test
, 52, 84
Johansen co-integration analysis
, 51
Johansen’s co-integration test
, 16, 25, 83, 95–98
Kwiatkowski–Phillips–Schmidt–Shin test
, 51
Macroeconomic data
, 65
Macroeconomic indicators
Bombay stock exchange
, 45–47
export
, 39–40
foreign direct investment
, 41–43
foreign portfolio investment
, 43–44
gross domestic product
, 45
import
, 40–41
national stock exchange
, 47–48
T-Bill
, 44–45
Macroeconomic variables
, 125
Markov regime-switching model (MRS model)
, 5, 22, 27–29, 51, 83, 107–112, 124
Maximum likelihood estimation (MLE)
, 26
Micro, small, and medium enterprises (MSME)
, 101
Middle East and Africa (ME&A)
, 5
Monetary policy uncertainty (MPU)
, 10
Multivariate generalized autoregressive conditional heteroscedasticity model (MGARCH model)
, 29, 81–82, 124
National Securities Depository Limited (NSDL)
, 23
National Stock Exchange (NSE)
, 4, 47–48, 123
National Stock Exchange 50 (NIFTY 50)
, 47, 49, 52, 65, 84
Non-genetically modified organism
, 69
North Atlantic Treaty Organization (NATO)
, 66
NSE Indices Limited
, 47
Null hypothesis
, 98
NYMEX crude
, 67
p-value
, 104
Personal protective equipment (PPE)
, 49
Phillips–Perron test
, 51
Positive coefficients
, 100
Pre-COVID-19 period
, 3, 11, 22–24, 107, 124
Quantile-on-quantile regression (QQR)
, 8
Quasi correlations
, 31
Real effective exchange rates (REER)
, 3–4, 65, 123
crude oil price effects on Indian stock market and
, 70–82
Regime process
, 29
Regime-switching models
, 27
Reserve Bank of India (RBI)
, 23
Russia–Ukraine conflict impact on Indian economy
economic waves of
, 66–67
effects of crude oil price on Indian stock market and REER
, 70–82
effects of Russia–Ukraine conflict in light of India
, 67–69
Securities and Exchange Board of India (SEBI)
, 46
Securities Contracts Act
, 45
Semiconductors
, 66
Service sector
, 55
State Bank of India (SBI)
, 68
Stochastic search specification selection (SSSS)
, 15
Structural vector autoregressive model (SVAR)
, 15, 17
Test statistic
, 25
Threshold generalized autoregressive conditional heteroscedasticity model (TGARCH model)
, 18
Time-varying ordinary least squares (Time-varying OLS regression)
, 19
Time-varying parameter vector autoregression (TVP-VAR)
, 6
Transition matrix
, 28
Treasury bill (T-bill)
, 2, 39, 44–45, 51, 84, 123
granger
, 106
suffers
, 59
Uncertainty
, 50
Union of Soviet Socialist Republics (USSR)
, 65
Unit root test
, 88
United Nations Conference on Trade and Development (UNCTAD)
, 42
US dollar (US$)
, 5
Vector autoregression model (VAR model)
, 16–17, 19, 99
Vector Error Correction Model (VECM)
, 16, 26–27, 51, 83, 99–102, 124
Volatility index (VIX)
, 12
Wald statistics
, 78, 99
Wald Test
, 25–26, 51, 70, 98–99
EPU
, 53–54
Wavelet approach
, 8
World Health Organisation (WHO)
, 3, 49
- Prelims
- 1. Introduction
- 2. Economic Policy Uncertainty (EPU) in the Indian Context
- 3. Macroeconomic Indicators and Indian Stock Markets: An Overview
- 4. Effects of Economic Policy Uncertainty on Indian Economy and Stock Markets in Times of COVID-19 Crisis
- 5. Impact of the Russia–Ukraine Conflict on the Indian Economy
- 6. Empirical Data Analysis and Findings of the Study
- 7. Conclusions and Recommendations
- Bibliography
- Appendices
- Index