Aviral Tiwari | ICFAI University, Tripura (original) (raw)
Papers by Aviral Tiwari
Economic Modelling, Aug 1, 2014
In this study we investigate and identify the patterns of co-movement of interest rate, stock pri... more In this study we investigate and identify the patterns of co-movement of interest rate, stock price and exchange rate in India in the period between July 1997 and December 2010 using the cross-wavelet power, the cross-wavelet coherency, and the phase difference methodologies. Our empirical findings suggest that stock prices, exchange rates and interest rates are linked. The cross wavelet results show that stock price movements are lagging both to the exchange rate and interest rate fluctuations. The interest rate lead over the stock price movements is even clearer, especially after 2006, and it suggests that the stock market follows the interest rate signals. Comparing results of WTC and XWT, we find very clear results of phase difference of lead–lag relationship between stock prices, exchange rates and interest rates.
Indian economy’s inflation index often reflects double digit tendencies due to supply side shorta... more Indian economy’s inflation index often reflects double digit tendencies due to supply side shortages
caused by droughts, rise in the prices of crude oil in the international markets etc. These factors
may be responsible for non-linear behaviour of inflation index. Against this backdrop, an attempt
is made in this study to capture non-linear mean reversion of prices of 47 agricultural
commodities of India. The study employs powerful non-linear unit root test so as to generate robust
findings to infer valid policy implications. The results of the study indicate the presence of
unit root with drift process for Food Grains, Cereals, Pulses, Fruits, Vegetables, Primary Articles,
Ragi and Rice. And for rest of the commodities, it is observed that there is evidence of mean reversion
and therefore, the impact would be only temporary in nature. Thus, the empirical inferences
enable the policy makers to design appropriate short term and long term polices related to the
prices of agricultural commodities
In this study by applying VECM analysis in the Dreger model we found bi-directional causality bet... more In this study by applying VECM analysis in the Dreger model we found bi-directional causality between GDP and defense expenditure, unidirectional causality from GDP to merchandise trade and from gross domestic savings to merchandise trade and no causality from any of the test variable to gross domestic savings. Merchandise trade found to be having positive response in one SD structural shock in defense expenditure and GDP found to be having negative response in one SD structural shock in defense expenditure.
We examined the causality in both static and dynamic framework between energy consumption, CO 2 e... more We examined the causality in both static and dynamic framework between energy consumption, CO 2 emissions and economic growth in India using Granger approach in VAR framework. We found from the VAR analysis that energy consumption, capital and population Granger-cause economic growth not the vice versa. IRFs and VDs analysis results indicate that CO 2 emissions has positive impact on energy use and capital but negative impact on population and GDP. Energy consumption has positive impact on CO 2 emissions and GDP but its impact is negative on capital and population. This implies that, in the framework of production function, capital and population/labour has been rapidly substituted by energy use in the production process. We argue that since energy consumption generates GDP, therefore, reduction in the energy consumption will have negative impact on the economic growth and Indian economy may standstill to developing economy only. We suggest to the policy makers and Industrialists of India that since energy consumption increases CO 2 emissions too therefore, to the best energy consumption which is generated through the use of fossil fuels and other nonrenewable resources should be reduced and there should be an effort to exploit the renewable sources of energy for consumption and production purposes, which would economies the use of these natural resources in the economy and so economic growth will not be retarded and CO 2 emissions will be less.
This study contributes to the existing literature in two ways. First, a fiscal performance index ... more This study contributes to the existing literature in two ways. First, a fiscal performance index for northern states of India has been developed to rank the sates according to their fiscal performance. Second, the nonlinear stationary of the fiscal performance of the sates in panel framework has been tested by using a recently developed nonlinear panel unit root test of Ucar and Omay (2009). It has been observed that Arunachal Pradesh ranks first in whole period of study in terms of fiscal performance and fiscal performance of northern sates of India is liner nonstationary
The study examined causality using static and dynamic frameworks, by considering energy consumpti... more The study examined causality using static and dynamic frameworks, by considering energy consumption, C02 emissions and economic growth for India. It used the Granger approach (VECM framework) along with the Dolado and Lütkepohl"s approach. It found that CO2 Granger-causes GDP while energy consumption does not Grangercause GDP, GDP does not Granger-cause CO2 while energy consumption Granger-causes CO2 emissions, and CO2 emissions Granger-causes energy consumption but GDP does not Grangercauses CO2 emissions. This implies that India should opt for policies that stress on energy conservation and efficient utilization of energy. natural gas was consistently at a level of about 18% and 5% during 1990-2005, when compared to merely 12% and 0.85% respectively, in 1970. However, non-fossil sources of energy, like hydro-electricity continued to have a small share of about 6.2%. The remaining 0.64% was accounted for by the non-conventional energy sources, such as, nuclear, wind and solar power in 1990. In 2005, the share of hydro-electricity had decreased to 3.62% while the share of non-conventional energy sources had marginally increased to 0.99%.
wage inequality and capital-output ratio are cointegration in long run.
. This study employs different specifications of semi log linear multiple regression model for th... more . This study employs different specifications of semi log linear multiple regression model for the analysis. To minimize the problem of multicollinearity, principal component analysis has been used. The empirical result of the present study rejects the proposition of both the models. In other words India's trade with developed and developing countries leads to increase in wage inequality.
T Th he e E Ec co on no om mi ic c R Re es se ea ar rc ch h G Gu ua ar rd di ia an n --V Vo ol l.... more T Th he e E Ec co on no om mi ic c R Re es se ea ar rc ch h G Gu ua ar rd di ia an n --V Vo ol l. . 2 2( (1 1) )2 20 01 12 2 S Se em mi i--a an nn nu ua al l O On nl li in ne e J Jo ou ur rn na al l, , w ww ww w. .e ec cr rg g. .r ro o I IS SS SN N: : 2 22 24 47 7--8 85 53 31 1, , I IS SS SN N--L L: : 2 22 24 47 7--8 85 53 31 1 Econ Res Guard 2(1) E Ec co on n R Re es s G Gu ua ar rd d 2 20 01 12 2 C Co on nt te en nt ts s T Th he e E Ec co on no om mi ic c R Re es se ea ar rc ch h G Gu ua ar rd di ia an n --V Vo ol l. . 2 2( (1 1) )2 20 01 12 2 S Se em mi i--a an nn nu ua al l O On nl li in ne e J Jo ou ur rn na al l, , w ww ww w. .e ec cr rg g. .r ro o I IS SS SN N: : 2 22 24 47 7--8 85 53 31 1, , I IS SS SN N--L L: : 2 22 24 47 7--8 85 53 31 1 Econ Res Guard 2(1): 60-69 E Ec co on n R Re es s G Gu ua ar rd d 6 60 0 2 20 01 12 2 Abstract
In this study we have made an attempt to examine the cointegration between inflation and price of... more In this study we have made an attempt to examine the cointegration between inflation and price of gold and thereby to see whether inflationary hedging in gold in Indian context is fruitful to investors. To achieve our objective we have carried out cointegration analysis with allowance of structural breaks and seasonal adjustments as both markets have been subject to structural change and affected by seasons. We find that in all cases there is long run relationship between gold price and inflation. This implies that investing in gold can be used as an effective tool of inflationary hedging by the investors in the Indian context.
This study examines the integration in nine Asian stock markets using a new methodology of wavele... more This study examines the integration in nine Asian stock markets using a new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Javier Fernandez (2012). This novel approach takes care of several limitations which are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in the set of stock indices. Our results show that Asian stock markets are highly 2 integrated at lower frequencies and comparatively lesser integrated at higher frequencies.
This study examines the effectiveness of foreign aid, foreign direct investment, and economic fre... more This study examines the effectiveness of foreign aid, foreign direct investment, and economic freedom for selected 28 Asian countries in a panel framework. The model includes foreign aid, foreign direct investment, economic freedom, labor force, and capital stock. The estimation procedure was carried out on pooled annual time series data for the period 1998-2007. For the purpose of analysis, we used static and dynamic panel data techniques. The results indicated that an increase in the fiscal freedom, financial freedom and domestic capital stock were significant factors positively affecting economic growth. Freedom from corruption, inflow of foreign direct investment and foreign aid were significant factors negatively affecting economic growth. Further, we found that life expectancy played a significant and positive role in economic growth. Foreign aid had a non-linear impact (negative impact of high aid flows) upon economic growth.
The present study is an attempt to test whether sectoral indices of Bombay stock Exchange have di... more The present study is an attempt to test whether sectoral indices of Bombay stock Exchange have diversification benefits in the same. For the analysis, we used daily data spanning from 2/1/1999 to 3/31/2011. To test our hypothesis we used Fractional cointegration test. Study found that, in general, no evidence of cointegration in the sectoral indices of Bombay stock Exchange and hence conclude that there is benefit to domestic investors for sectoral diversification in the Bombay stock Exchange Sectoral indices of Indian stock market.
This study examines stationarity characteristics of per capita GDP of a panel of 17 Asian countri... more This study examines stationarity characteristics of per capita GDP of a panel of 17 Asian countries and sub-panels. We employed a series of panel unit root tests that assume cross sectional independence and cross sectional dependence. The results of the second-generation tests reveal stationarity of per capita GDP for the entire Asian panel, as well as the East Asian and High Income Asian sub-panels. However, we find weak evidence for stationarity for the South Asian panel. The stationarity properties of the East Asian countries were strongly consistent with the idea that business cycles have stationary fluctuations around a deterministic trend, and vice versa hold for the South Asian panel.
This paper tests the weak form of stock market efficiency using data on eight sectoral indices fr... more This paper tests the weak form of stock market efficiency using data on eight sectoral indices from the Bombay Stock Exchange (BSE, India). The aim is to examine if portfolio diversification strategy can be used by investors to make financial gain. For this purpose we implement the Breitung's (2002) non-parametric unit root test and the Bierens's (1997) and
A plethora of research activity on the relationship between a country's export and economic growt... more A plethora of research activity on the relationship between a country's export and economic growth has produced ambiguous and mixed results. We reinvestigate this relationship using the methodology of wavelets based correlation and cross correlation. Our results show that the relationship between export growth and output growth is not only positive in India but this relationship grows stronger as time horizons increases. Our results based on wavelet crosscorrelation show that causal relationship is bi-directional at higher time scales.
This study reexamines evidences from a recent study by Paul (2010) on the role of macro imbalance... more This study reexamines evidences from a recent study by Paul (2010) on the role of macro imbalances in the US recession of 2007-09. Paul (2010) ascribes the prolonged recession to the twin deficits; while we identify fiscal deficit as the problem.
Economic Modelling, Aug 1, 2014
In this study we investigate and identify the patterns of co-movement of interest rate, stock pri... more In this study we investigate and identify the patterns of co-movement of interest rate, stock price and exchange rate in India in the period between July 1997 and December 2010 using the cross-wavelet power, the cross-wavelet coherency, and the phase difference methodologies. Our empirical findings suggest that stock prices, exchange rates and interest rates are linked. The cross wavelet results show that stock price movements are lagging both to the exchange rate and interest rate fluctuations. The interest rate lead over the stock price movements is even clearer, especially after 2006, and it suggests that the stock market follows the interest rate signals. Comparing results of WTC and XWT, we find very clear results of phase difference of lead–lag relationship between stock prices, exchange rates and interest rates.
Indian economy’s inflation index often reflects double digit tendencies due to supply side shorta... more Indian economy’s inflation index often reflects double digit tendencies due to supply side shortages
caused by droughts, rise in the prices of crude oil in the international markets etc. These factors
may be responsible for non-linear behaviour of inflation index. Against this backdrop, an attempt
is made in this study to capture non-linear mean reversion of prices of 47 agricultural
commodities of India. The study employs powerful non-linear unit root test so as to generate robust
findings to infer valid policy implications. The results of the study indicate the presence of
unit root with drift process for Food Grains, Cereals, Pulses, Fruits, Vegetables, Primary Articles,
Ragi and Rice. And for rest of the commodities, it is observed that there is evidence of mean reversion
and therefore, the impact would be only temporary in nature. Thus, the empirical inferences
enable the policy makers to design appropriate short term and long term polices related to the
prices of agricultural commodities
In this study by applying VECM analysis in the Dreger model we found bi-directional causality bet... more In this study by applying VECM analysis in the Dreger model we found bi-directional causality between GDP and defense expenditure, unidirectional causality from GDP to merchandise trade and from gross domestic savings to merchandise trade and no causality from any of the test variable to gross domestic savings. Merchandise trade found to be having positive response in one SD structural shock in defense expenditure and GDP found to be having negative response in one SD structural shock in defense expenditure.
We examined the causality in both static and dynamic framework between energy consumption, CO 2 e... more We examined the causality in both static and dynamic framework between energy consumption, CO 2 emissions and economic growth in India using Granger approach in VAR framework. We found from the VAR analysis that energy consumption, capital and population Granger-cause economic growth not the vice versa. IRFs and VDs analysis results indicate that CO 2 emissions has positive impact on energy use and capital but negative impact on population and GDP. Energy consumption has positive impact on CO 2 emissions and GDP but its impact is negative on capital and population. This implies that, in the framework of production function, capital and population/labour has been rapidly substituted by energy use in the production process. We argue that since energy consumption generates GDP, therefore, reduction in the energy consumption will have negative impact on the economic growth and Indian economy may standstill to developing economy only. We suggest to the policy makers and Industrialists of India that since energy consumption increases CO 2 emissions too therefore, to the best energy consumption which is generated through the use of fossil fuels and other nonrenewable resources should be reduced and there should be an effort to exploit the renewable sources of energy for consumption and production purposes, which would economies the use of these natural resources in the economy and so economic growth will not be retarded and CO 2 emissions will be less.
This study contributes to the existing literature in two ways. First, a fiscal performance index ... more This study contributes to the existing literature in two ways. First, a fiscal performance index for northern states of India has been developed to rank the sates according to their fiscal performance. Second, the nonlinear stationary of the fiscal performance of the sates in panel framework has been tested by using a recently developed nonlinear panel unit root test of Ucar and Omay (2009). It has been observed that Arunachal Pradesh ranks first in whole period of study in terms of fiscal performance and fiscal performance of northern sates of India is liner nonstationary
The study examined causality using static and dynamic frameworks, by considering energy consumpti... more The study examined causality using static and dynamic frameworks, by considering energy consumption, C02 emissions and economic growth for India. It used the Granger approach (VECM framework) along with the Dolado and Lütkepohl"s approach. It found that CO2 Granger-causes GDP while energy consumption does not Grangercause GDP, GDP does not Granger-cause CO2 while energy consumption Granger-causes CO2 emissions, and CO2 emissions Granger-causes energy consumption but GDP does not Grangercauses CO2 emissions. This implies that India should opt for policies that stress on energy conservation and efficient utilization of energy. natural gas was consistently at a level of about 18% and 5% during 1990-2005, when compared to merely 12% and 0.85% respectively, in 1970. However, non-fossil sources of energy, like hydro-electricity continued to have a small share of about 6.2%. The remaining 0.64% was accounted for by the non-conventional energy sources, such as, nuclear, wind and solar power in 1990. In 2005, the share of hydro-electricity had decreased to 3.62% while the share of non-conventional energy sources had marginally increased to 0.99%.
wage inequality and capital-output ratio are cointegration in long run.
. This study employs different specifications of semi log linear multiple regression model for th... more . This study employs different specifications of semi log linear multiple regression model for the analysis. To minimize the problem of multicollinearity, principal component analysis has been used. The empirical result of the present study rejects the proposition of both the models. In other words India's trade with developed and developing countries leads to increase in wage inequality.
T Th he e E Ec co on no om mi ic c R Re es se ea ar rc ch h G Gu ua ar rd di ia an n --V Vo ol l.... more T Th he e E Ec co on no om mi ic c R Re es se ea ar rc ch h G Gu ua ar rd di ia an n --V Vo ol l. . 2 2( (1 1) )2 20 01 12 2 S Se em mi i--a an nn nu ua al l O On nl li in ne e J Jo ou ur rn na al l, , w ww ww w. .e ec cr rg g. .r ro o I IS SS SN N: : 2 22 24 47 7--8 85 53 31 1, , I IS SS SN N--L L: : 2 22 24 47 7--8 85 53 31 1 Econ Res Guard 2(1) E Ec co on n R Re es s G Gu ua ar rd d 2 20 01 12 2 C Co on nt te en nt ts s T Th he e E Ec co on no om mi ic c R Re es se ea ar rc ch h G Gu ua ar rd di ia an n --V Vo ol l. . 2 2( (1 1) )2 20 01 12 2 S Se em mi i--a an nn nu ua al l O On nl li in ne e J Jo ou ur rn na al l, , w ww ww w. .e ec cr rg g. .r ro o I IS SS SN N: : 2 22 24 47 7--8 85 53 31 1, , I IS SS SN N--L L: : 2 22 24 47 7--8 85 53 31 1 Econ Res Guard 2(1): 60-69 E Ec co on n R Re es s G Gu ua ar rd d 6 60 0 2 20 01 12 2 Abstract
In this study we have made an attempt to examine the cointegration between inflation and price of... more In this study we have made an attempt to examine the cointegration between inflation and price of gold and thereby to see whether inflationary hedging in gold in Indian context is fruitful to investors. To achieve our objective we have carried out cointegration analysis with allowance of structural breaks and seasonal adjustments as both markets have been subject to structural change and affected by seasons. We find that in all cases there is long run relationship between gold price and inflation. This implies that investing in gold can be used as an effective tool of inflationary hedging by the investors in the Indian context.
This study examines the integration in nine Asian stock markets using a new methodology of wavele... more This study examines the integration in nine Asian stock markets using a new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Javier Fernandez (2012). This novel approach takes care of several limitations which are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in the set of stock indices. Our results show that Asian stock markets are highly 2 integrated at lower frequencies and comparatively lesser integrated at higher frequencies.
This study examines the effectiveness of foreign aid, foreign direct investment, and economic fre... more This study examines the effectiveness of foreign aid, foreign direct investment, and economic freedom for selected 28 Asian countries in a panel framework. The model includes foreign aid, foreign direct investment, economic freedom, labor force, and capital stock. The estimation procedure was carried out on pooled annual time series data for the period 1998-2007. For the purpose of analysis, we used static and dynamic panel data techniques. The results indicated that an increase in the fiscal freedom, financial freedom and domestic capital stock were significant factors positively affecting economic growth. Freedom from corruption, inflow of foreign direct investment and foreign aid were significant factors negatively affecting economic growth. Further, we found that life expectancy played a significant and positive role in economic growth. Foreign aid had a non-linear impact (negative impact of high aid flows) upon economic growth.
The present study is an attempt to test whether sectoral indices of Bombay stock Exchange have di... more The present study is an attempt to test whether sectoral indices of Bombay stock Exchange have diversification benefits in the same. For the analysis, we used daily data spanning from 2/1/1999 to 3/31/2011. To test our hypothesis we used Fractional cointegration test. Study found that, in general, no evidence of cointegration in the sectoral indices of Bombay stock Exchange and hence conclude that there is benefit to domestic investors for sectoral diversification in the Bombay stock Exchange Sectoral indices of Indian stock market.
This study examines stationarity characteristics of per capita GDP of a panel of 17 Asian countri... more This study examines stationarity characteristics of per capita GDP of a panel of 17 Asian countries and sub-panels. We employed a series of panel unit root tests that assume cross sectional independence and cross sectional dependence. The results of the second-generation tests reveal stationarity of per capita GDP for the entire Asian panel, as well as the East Asian and High Income Asian sub-panels. However, we find weak evidence for stationarity for the South Asian panel. The stationarity properties of the East Asian countries were strongly consistent with the idea that business cycles have stationary fluctuations around a deterministic trend, and vice versa hold for the South Asian panel.
This paper tests the weak form of stock market efficiency using data on eight sectoral indices fr... more This paper tests the weak form of stock market efficiency using data on eight sectoral indices from the Bombay Stock Exchange (BSE, India). The aim is to examine if portfolio diversification strategy can be used by investors to make financial gain. For this purpose we implement the Breitung's (2002) non-parametric unit root test and the Bierens's (1997) and
A plethora of research activity on the relationship between a country's export and economic growt... more A plethora of research activity on the relationship between a country's export and economic growth has produced ambiguous and mixed results. We reinvestigate this relationship using the methodology of wavelets based correlation and cross correlation. Our results show that the relationship between export growth and output growth is not only positive in India but this relationship grows stronger as time horizons increases. Our results based on wavelet crosscorrelation show that causal relationship is bi-directional at higher time scales.
This study reexamines evidences from a recent study by Paul (2010) on the role of macro imbalance... more This study reexamines evidences from a recent study by Paul (2010) on the role of macro imbalances in the US recession of 2007-09. Paul (2010) ascribes the prolonged recession to the twin deficits; while we identify fiscal deficit as the problem.