A revisit to how linkages fuel dependent economic policy initiatives: Empirical evidence from US and BRIC financial stress indices

Singh, Amanjot and Singh, M 2017, A revisit to how linkages fuel dependent economic policy initiatives: Empirical evidence from US and BRIC financial stress indices, International Journal of Law and Management, vol. 59, no. 6, pp. 1068-1108, doi: 10.1108/IJLMA-08-2016-0074.

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Title A revisit to how linkages fuel dependent economic policy initiatives: Empirical evidence from US and BRIC financial stress indices
Author(s) Singh, AmanjotORCID iD for Singh, Amanjot orcid.org/0000-0003-3575-4382
Singh, M
Journal name International Journal of Law and Management
Volume number 59
Issue number 6
Start page 1068
End page 1108
Total pages 41
Publisher Emerald Publishing Group
Place of publication Bingley, Eng.
Publication date 2017
ISSN 1754-243X
1754-2448
Keyword(s) BRIC
USA
Linkages
Economic policy
Financial stress
Summary Purpose The authors aim to report empirical linkages between the US and Brazil, Russia, India and China (BRIC) financial stress indices catalyzing catalyzing dependent economic policy initiatives (an extended version of Singh and Singh, 2017a).Design/methodology/approachInitially, the study develops financial stress indices for the respective BRIC financial markets. Later, it captures linkages among the said US-BRIC indices by using Johansen cointegration, vector autoregression/vector error correction models (VECM), generalized impulse response functions, Toda–Yamamoto Granger causality, variance decomposition analyses and bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model under constant conditional correlation framework, in general. Markov regime switching and efficient causality tests proposed by Hill (2007) are also used.FindingsOverall, there are both short-run and long-run dynamic interactions observed between the US and Indian financial stress indices. For rest of the markets, only short-run interactions are found to be in existence. The time-varying co-movement coefficients report financial contagion impact of the US financial crisis on Russian and Indian financial systems only. Contrary to this, Brazilian and Chinese financial systems are largely exhibiting interdependence with the US financial system. Efficient causality tests report indirect impact of the Russian financial system on Brazilian via auxiliary Indian financial system.Originality/valueThe present study is the first of its kind capturing linkages among the US-BRIC financial stress indices by using diverse econometric models. The results support different market participants and policymakers in understanding effectiveness and implementation of economic policies while considering their cross-market interactions as well.
Language eng
DOI 10.1108/IJLMA-08-2016-0074
Indigenous content off
Field of Research 15 Commerce, Management, Tourism and Services
18 Law and Legal Studies
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30150408

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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