Impact of US UMP on Indian Stock Market

Moumita Paul () and Kalluru Siva Reddy ()
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Moumita Paul: Gokhale Institute of Politics and Economics
Kalluru Siva Reddy: Gokhale Institute of Politics and Economics

A chapter in Studies in International Economics and Finance, 2022, pp 647-662 from Springer

Abstract: Abstract This paper looks at the impact of US quantitative easing (QE) on the Indian benchmark stock market index, the Nifty. Using data from September 2008 to June 2019 within an autoregressive distributed lag (ARDL) framework, we find that there is a long-term relationship between the QE, Nifty and other macroeconomic variables. A 10 percentage point increase in QE leads to a 2.1% increase in Nifty returns. From the counter factual analysis it is noted that Nifty would have been lower if there was no QE. The dependence of the Nifty on FII flows and the vagaries of FII flows on the unconventional monetary policies of the USA render the Indian stock market vulnerable.

Keywords: Quantitative easing; Unconventional monetary policy; Financial crisis; Emerging economies; Monetary policy transmission; ARDL; Stock returns (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 G01 G15 G18 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-981-16-7062-6_33

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DOI: 10.1007/978-981-16-7062-6_33

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