Search results

1 – 10 of 13
Article
Publication date: 24 July 2024

Biswajit Paul, Raktim Ghosh, Ashish Kumar Sana, Bhaskar Bagchi, Priyajit Kumar Ghosh and Swarup Saha

This study empirically investigates the interdependency of select Asian emerging economies along with the financial stress index during the times of the global financial crisis…

Abstract

Purpose

This study empirically investigates the interdependency of select Asian emerging economies along with the financial stress index during the times of the global financial crisis, the Euro crisis and the COVID-19 period. Moreover, it inspects the long-memory effects of the different crises during the study period.

Design/methodology/approach

To address the objectives of the study, the authors apply different statistical tools, namely the adjusted correlation coefficient, fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and wavelet coherence model, along with descriptive statistics.

Findings

Financial stress is having a prodigious effect on the economic growth of select economies. From the data analysis, it is found that the long-memory effect is noted in the gross domestic product (GDP) for India and Korea only, which implies that the volatility in the GDP series for these two nations demonstrates persistence and dependency on previous values over a lengthy period.

Originality/value

The study is unique of its kind to consider multi-segments within the period of the study to get a clear idea about the effects of the financial stress index on select Asian emerging economies by applying different econometric tools.

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2054-6238

Keywords

Article
Publication date: 27 January 2022

Raktim Ghosh, Bhaskar Bagchi and Susmita Chatterjee

The paper tries to analyse empirically the impact of India's economic policy uncertainty (EPU) index on different macro-economic variables of India, like import, export, interest…

Abstract

Purpose

The paper tries to analyse empirically the impact of India's economic policy uncertainty (EPU) index on different macro-economic variables of India, like import, export, interest rate, exchange rate, inflation rate and stock market during pre-COVID-19 and COVID-19 era.

Design/methodology/approach

Although there exist several works where relationship and volatility among the stock markets and macro-economic indicators during the COVID-19 pandemic have been estimated, but till now none of the studies examined the effect of EPU index on different macro-economic variables in the Indian context along with the stock market due to the outbreak of COVID-19 pandemic. This is considered a noteworthy gap and hence opens up a new dimension for examination. To get a clear picture, monthly data from January, 2012 to September, 2021 have been considered where January, 2012–February, 2020 is taken as the pre-COVID-19 period and March, 2020–September, 2021 as COVID-19 period. All the data are converted into log natural. The authors applied DCC-GARCH model to investigate the impact of EPU index on volatility of selected variables over the study period across a multivariate framework and Markov regime-switching model to examine the switching over of the variables.

Findings

The results of dynamic conditional correlation - multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model indicates the presence of volatility in the dependent variables arising out of economic policy uncertainty considering the segmentation of the study period into pre-COVID-19 and COVID-19. The results of Markov regime-switching model show the variables make a significant move from low-volatility regime to high-volatility regime due to the presence of COVID-19.

Research limitations/implications

It can be implied that impact of EPU in terms of volatility on the Indian Stock Market will lead to unfavourable investment conditions for the prospective investors. Even, the different macro-economic variables are to suffer from the volatility arising out of EPU across a long time horizon as confirmed from the DCC-MGARCH model.

Originality/value

The study is original in nature. It adds superior values from the new and significant findings from the study empirically. Application of DCC-MGARCH model and Markov regime switching model makes the study an innovative one in terms of methodology and findings.

Details

Journal of Economic and Administrative Sciences, vol. 40 no. 3
Type: Research Article
ISSN: 2054-6238

Keywords

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

Content available
Book part
Publication date: 30 January 2023

Raktim Ghosh and Bhaskar Bagchi

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

Book part
Publication date: 30 January 2023

Raktim Ghosh and Bhaskar Bagchi

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

Abstract

Details

Economic Policy Uncertainty and the Indian Economy
Type: Book
ISBN: 978-1-80455-937-6

1 – 10 of 13