 Does global spillover matter in the Indian money market? A vector error correction modelAvijit Bakshi and Pujari Sudharsana Reddy International Journal of Indian Culture and Business Management, 2025, vol. 34, issue 1, 113-133 Abstract: This study investigates the impact of transmission channels, including global liquidity, confidence, and exchange, on the Indian money market. The research aims to identify the predominant transmission channel and its influence on the repo and call money rates. A vector error correction model (VECM) analysed weekly data collected from the Reserve Bank of India, Bank of St. Louis, and Federal Reserve Bank from 29 April 2001 to 21 March 2021. The study finds a stable, genuine long-term relationship between call money rates and global liquidity, confidence channels and exchange channels. A long-run causality is also observed between call money rates and broad market indicators. Repo rates similarly exhibit a long-term, stable relationship with these factors, with short-term impacts observed from global liquidity and the exchange channel, but not from the VIX. The exchange channel and VIX are proven to be more predominant in influencing policy and call money rates. Keywords: global spillover; vector error correction model; VECM; weighted average call money rate; WACR; repo rate; confidence channel. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijicbm:v:34:y:2025:i:1:p:113-133 Access Statistics for this article More articles in International Journal of Indian Culture and Business Management from Inderscience Enterprises Ltd |
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