Abstract

In this paper, an aggregate financial stress index for India is constructed by taking monthly data from different segments of the financial market like money market, bond market, equity market, foreign exchange market, and the banking sector, for the period March 2007 to December 2016. The interrelationship and feedback effect between financial stress, economic growth and price stability are tested by using correlation and an unrestricted VAR model. The impulse response analysis shows that financial stress leads to a decline in growth after a lag period and a higher growth rate for a longer period of time increases stress in the financial system. The variance decomposition result indicates that the contribution of FSI to the variation of other variables are not much high, whereas other variables can affect FSI to some extent. In the Short-run price stability increases financial stress but in the long run, the result is the opposite.

摘要

本文利用货币市场、债券市场、股票市场、外汇市场和银行业等金融市场不同部分的月度数据构建了印度金融压力综合指数，时间范围为 2007 年 3 月至 12 月。 2016. 金融压力、经济增长和价格稳定之间的相互关系和反馈效应通过使用相关性和无限制VAR模型进行测试。脉冲响应分析表明，金融压力会导致滞后期后增长下降，而较长时期内较高的增长率会增加金融体系的压力。方差分解结果表明，FSI 对其他变量变异的贡献并不高，而其他变量可以在一定程度上影响 FSI。