IDEAS home Printed from https://ideas.repec.org/h/eme/isetez/s1571-038620210000028007.html
   My bibliography  Save this book chapter

A Vulnerability Spillover Index for the Indian Financial System

In: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics

Author

Listed:
  • Indrani Manna

Abstract

This chapter proposes a measure of systemic default interconnectedness between banks, non-banks, housing finance companies in India and globally systemically important banks based on variance decompositions associated with a multiple variable vector autoregression of probability of default of the institutions. We call it the “vulnerability spillover index” (VSI). The vulnerability indices capture all the major macro and financial stress events in the Indian and global economy explaining the interconnections between sectors and underlying reasons for spillovers and potential for a systemic crisis. Thresholds of VSI are calculated which may enable prediction of financial stress events.

Suggested Citation

  • Indrani Manna, 2021. "A Vulnerability Spillover Index for the Indian Financial System," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 129-141, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-038620210000028007
    DOI: 10.1108/S1571-038620210000028007
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-038620210000028007/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-038620210000028007/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S1571-038620210000028007
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-038620210000028007/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/S1571-038620210000028007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:isetez:s1571-038620210000028007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.