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Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation

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  • Rajendra N. Paramanik
  • Avishek Bhandari
  • Bandi Kamaiah

Abstract

This paper is an empirical attempt to assess the relations among business cycles, financial cycles, and economic uncertainty for India during the period January 2003 to January 2020. Empirical findings from the vector autoregression model suggest a bidirectional causal relationship between the real and financial markets. Further, the aforementioned markets are found to influence the uncertainty index in India. We employ the Granger causality test in the frequency domain which exhibits the dynamic nature of causal relations, while our novel fractal connectivity approach reveals the long‐run correlation structure among all three variables.

Suggested Citation

  • Rajendra N. Paramanik & Avishek Bhandari & Bandi Kamaiah, 2022. "Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation," Bulletin of Economic Research, Wiley Blackwell, vol. 74(3), pages 825-837, July.
    • Handle: RePEc:bla:buecrs:v:74:y:2022:i:3:p:825-837
    DOI: 10.1111/boer.12320
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    Cited by:

    1. Simran, & Sharma, Anil Kumar, 2024. "Asymmetric nexus between economic policy uncertainty and the Indian stock market: Evidence using NARDL approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 91-101.

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