Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India

Oguzhan Cepni, Rangan Gupta, Jacobus Nel () and Joshua Nielsen
Additional contact information
Jacobus Nel: University of Pretoria
Joshua Nielsen: Boulder Investment Technologies, LLC

Financial Innovation, 2025, vol. 11, issue 1, 1-25

Abstract: Abstract We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using weekly data from November 2003 to December 2020. We use a nonparametric causality-in-quantiles approach to analyze the predictive impact of monetary policy shocks on bubble indicators. We find, in general, strong evidence of predictability across the entire conditional distribution for the two monetary policy shock factors, with stronger impacts for negative bubbles. Our findings have critical implications for the Reserve Bank of India, academics, and investors.

Keywords: Multi-scale positive and negative bubbles; Monetary policy shocks; Nonparametric causality-in-quantiles test; India (search for similar items in EconPapers)
JEL-codes: C22 E52 G10 (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1186/s40854-024-00692-6 Abstract (text/html)

Related works:
Working Paper: Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India (2023)
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:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00692-6

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-024-00692-6

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().