Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets
AbstractThis paper provides evidence of spillover effects from the Indian to the US financial markets. We use VAR and Kalman filter analysis to assess the influence of financial stress indicators like the LIBOR-OIS, CDS, the S&P 500 volatility and the exchange rate of the rupee against the Dollar on two indicators of financial stress in India, namely the illiquidity of stock indices and their volatility. We conduct an analysis bases on both daily and monthly frequency and use a database that consists of both aggregate and disaggregated indexes. Our results points to a signification contagion effect after the period following the Lehman Brothers collapse.
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Bibliographic InfoPaper provided by Observatoire Francais des Conjonctures Economiques (OFCE) in its series Documents de Travail de l'OFCE with number 2010-34.
Date of creation: Nov 2010
Date of revision:
Subprime crisis; Emerging Markets; VAR analysis; financial stress;
Find related papers by JEL classification:
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
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