Finance-Growth-Crisis Nexus in India: Evidence from Cointegration and Causality Assessment
AbstractThis paper attempts to explore a new dimension of India’s ‘finance-growth-crisis’ nexus. For this end, the summary indicators of financial development, financial crisis and financial repression are created through the principal component approach, and we perform the cointegration and Granger causality analysis employing the methods of vector error correction model (VECM) and autoregressive distributed lag (ARDL). The element of structural break is also taken into assessment while specifying the break date through the Bai and Perron (1998; 2003) test. The key findings are: (1) India’s finance-growth nexus is bilateral but exhibits stronger evidence on the causality of output→finance; and (2) economic growth, financial development and financial repression have significant long-run impacts on financial crisis.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 39467.
Date of creation: Aug 2011
Date of revision:
Publication status: Published in Economia Internazionale / International Economics 3.64(2011): pp. 297-328
Finance-growth Nexus; Financial Crisis; Cointegration; Causality; India;
Find related papers by JEL classification:
- O11 - Economic Development, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
- O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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