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This paper provides evidence of spillover effects from the Indian to the US financial markets. The authors use VAR and Kalman filter analysis to assess the influence of financial stress indicators like the LIBOROIS, 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. They conduct an analysis bases on both daily and monthly frequency and use a database that consists of both aggregate and disaggregated indexes. The results points to a signification contagion effect after the period following the Lehman Brothers collapse.
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