Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation

Rajendra N. Paramanik, Avishek Bhandari and Bandi Kamaiah

Bulletin of Economic Research, 2022, vol. 74, issue 3, 825-837

Abstract: This paper is an empirical attempt to assess the relations among business cycles, financial cycles, and economic uncertainty for India during the period January 2003 to January 2020. Empirical findings from the vector autoregression model suggest a bidirectional causal relationship between the real and financial markets. Further, the aforementioned markets are found to influence the uncertainty index in India. We employ the Granger causality test in the frequency domain which exhibits the dynamic nature of causal relations, while our novel fractal connectivity approach reveals the long‐run correlation structure among all three variables.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/boer.12320

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:buecrs:v:74:y:2022:i:3:p:825-837

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0307-3378

Access Statistics for this article

More articles in Bulletin of Economic Research from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().