“Finance-Growth-Crisis Nexus in India: Evidence from Cointegration and Causality Assessment” - L’interazione finanza-crescita-crisi in India: evidenze da una analisi di cointegrazione e causalità

Takashi Fukuda () and Jauhari Dahalan
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Jauhari Dahalan: Universiti Utara Malaysia, Postal: 238, College of Business, Economics Building - V06010 UUM Sintok - Kedak - MALAYSIA, , ,, http://www.uum.edu.my/

Economia Internazionale / International Economics, 2011, vol. 64, issue 3, 297-328

Abstract: This paper attempts to explore a new dimension of India’s ‘financegrowth- crisis’ nexus. For this end, the summary indicators of financial development, financial crisis and financial repression are created through the principal component approach, and we perform the cointegration and Granger causality analysis employing the methods of vector error correction model (VECM) and autoregressive distributed lag (ARDL). The element of structural break is also taken into assessment while specifying the break date through the Bai and Perron (1998; 2003) test. The key findings are: (1) India’s finance-growth nexus is bilateral but exhibits stronger evidence on the causality of output→finance; and (2) economic growth, financial development and financial repression have significant long-run impacts on financial crisis. - Scopo di questo lavoro è l’analisi di un nuovo aspetto della relazione finanza-crescita-crisi in India. A questo fine vengono elaborati indicatori sintetici di sviluppo della finanza, di crisi e di repressione finanziaria attraverso l’analisi delle componenti principali e viene eseguita un’analisi di cointegrazione e di Granger-causalità utilizzando i metodi del modello vector error correction (VECM) e dell’autoregressive distributed lag (ARDL). Viene valutato anche il break strutturale specificandone la data con il test di Bai e Perron. Le principali evidenze ottenute sono: (1) la relazione finanza-crescita in India è bilaterale ma mostra maggiore evidenza la relazione di causalità dalla crescita alla finanza; (2) la crescita economica, lo sviluppo finanziario e la repressione finanziaria hanno effetti di lungo periodo sulle crisi finanziarie.

Keywords: Finance-growth Nexus; Financial Crisis; Cointegration; Causality; India (search for similar items in EconPapers)
JEL-codes: E44 O11 O16 O53 (search for similar items in EconPapers)
Date: 2011
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