Impact of Conventional and Unconventional Monetary Policy on Correlations Across Financial Markets: Evidence from an Emerging Economy

Pami Dua and Divya Tuteja

Emerging Markets Finance and Trade, 2025, vol. 61, issue 8, 2280-2301

Abstract: This study examines the impact of Indian monetary policy, both conventional and unconventional, on the conditional correlations amongst the markets for call money, currency, Government securities, stocks, and Treasury bills. We utilize weekly data from January 2010 till March 2024 for the analysis. Using an ADCC-GARCH framework and several robustness tests, we investigate possible effects on the cross-market correlation dynamics. The empirical results indicate that there exist significant announcement and actual effects of the unconventional monetary policy actions of the Central Bank on the market correlations across Indian assets.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:61:y:2025:i:8:p:2280-2301

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DOI: 10.1080/1540496X.2024.2448512

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