Divya Tuteja
Delhi School of Economics
Abstract:
It has been well-documented in the literature that recent crises have led to large fluctuations in financial markets around the world. In this background, the objective of this paper is to assess decoupling vs recoupling of BRIC stock markets with the U.S. and Eurozone stock markets in the post 2000 period. We first, estimate the time-varying conditional correlation of the BRIC stock markets with the U.S. and Eurozone stock markets using a DCC-GARCH model. Thereafter, we identify regimes in the correlations using the Bai and Perron (2003) algorithm for endogenous selection of break dates. We study the behaviour of the conditional correlations during various identified phases with emphasis on the recent crises in the West. Finally, we test for a change in causal links among the markets across the regimes.
Date: December 13, 2016
Time: 11:30 P.M.
Venue:
Seminar Room No. 2
Indian Statistical Institute Delhi Centre,
7, S. J. S. Sansanwal Marg,
New Delhi-110016 (INDIA)
Location:
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Delhi School of Economics
Abstract:
It has been well-documented in the literature that recent crises have led to large fluctuations in financial markets around the world. In this background, the objective of this paper is to assess decoupling vs recoupling of BRIC stock markets with the U.S. and Eurozone stock markets in the post 2000 period. We first, estimate the time-varying conditional correlation of the BRIC stock markets with the U.S. and Eurozone stock markets using a DCC-GARCH model. Thereafter, we identify regimes in the correlations using the Bai and Perron (2003) algorithm for endogenous selection of break dates. We study the behaviour of the conditional correlations during various identified phases with emphasis on the recent crises in the West. Finally, we test for a change in causal links among the markets across the regimes.
Date: December 13, 2016
Time: 11:30 P.M.
Venue:
Seminar Room No. 2
Indian Statistical Institute Delhi Centre,
7, S. J. S. Sansanwal Marg,
New Delhi-110016 (INDIA)
Location:
View Larger Map
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