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Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets

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This 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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Paper provided by Observatoire Francais des Conjonctures Economiques (OFCE) in its series Documents de Travail de l'OFCE with number 2010-34.

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Date of creation: Nov 2010
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Handle: RePEc:fce:doctra:1034

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Keywords: Subprime crisis; Emerging Markets; VAR analysis; financial stress;

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  1. Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. V�gh, 2003. "The Unholy Trinity of Financial Contagion," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 51-74, Fall.
  2. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
  3. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers 09/104, International Monetary Fund.
  4. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
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