Return and volatility spillovers between currency and bond markets in India

This paper examines the return and volatility spillovers between the foreign exchange and bond markets of India using a bivariate asymmetric BEKK-GARCH (1,1) model for the period 4 April 2005 to 31 March 2017. We find the evidence of bidirectional return and volatility spillovers with asymmetric eff...

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Bibliographic Details
Published inMacroeconomics and finance in emerging market economies Vol. 12; no. 2; pp. 155 - 173
Main Authors Sahoo, Sudarsana, Behera, Harendra, Trivedi, Pushpa
Format Journal Article
LanguageEnglish
Published Routledge 04.05.2019
Subjects
bond yield
Exchange rate
MGARCH
spillover
volatility
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Summary:This paper examines the return and volatility spillovers between the foreign exchange and bond markets of India using a bivariate asymmetric BEKK-GARCH (1,1) model for the period 4 April 2005 to 31 March 2017. We find the evidence of bidirectional return and volatility spillovers with asymmetric effects between these two markets. The spillovers are evidenced even during the periods when foreign portfolio investments in the Indian bond markets were relatively low suggests the existence of strong inter-linkages between both the markets.
ISSN:1752-0843
1752-0851
DOI:10.1080/17520843.2018.1512509