Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country : the case of India
| dc.contributor.author | Cepni, Oguzhan | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Nel, Jacobus A. | |
| dc.contributor.author | Nielsen, Joshua | |
| dc.date.accessioned | 2025-02-14T07:09:15Z | |
| dc.date.available | 2025-02-14T07:09:15Z | |
| dc.date.issued | 2025-01 | |
| dc.description | AVAILABILITY OF DATA AND MATERIALS : Data will be made available upon request. | en_US |
| dc.description.abstract | We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using weekly data from November 2003 to December 2020. We use a nonparametric causality-in-quantiles approach to analyze the predictive impact of monetary policy shocks on bubble indicators. We find, in general, strong evidence of predictability across the entire conditional distribution for the two monetary policy shock factors, with stronger impacts for negative bubbles. Our findings have critical implications for the Reserve Bank of India, academics, and investors. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2024 | en_US |
| dc.description.sdg | SDG-08:Decent work and economic growth | en_US |
| dc.description.uri | https://jfin-swufe.springeropen.com | en_US |
| dc.identifier.citation | Cepni, O., Gupta, R., Nel, J. et al. Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India. Financial Innovation 11, 35 (2025). https://doi.org/10.1186/s40854-024-00692-6. | en_US |
| dc.identifier.issn | 2199-4730 (online) | |
| dc.identifier.other | 10.1186/s40854-024-00692-6 | |
| dc.identifier.uri | http://hdl.handle.net/2263/100886 | |
| dc.language.iso | en | en_US |
| dc.publisher | SpringerOpen | en_US |
| dc.rights | © The Author(s) 2025. Open Access This article is licensed under a Creative Commons Attribution 4.0 International License. | en_US |
| dc.subject | Multi-scale log-periodic power law singularity confidence indicator (MS-LPPLS-CI) | en_US |
| dc.subject | Nonparametric causality-in-quantiles test | en_US |
| dc.subject | Multi-scale positive and negative bubbles | en_US |
| dc.subject | Monetary policy shocks | en_US |
| dc.subject | India | en_US |
| dc.subject | SDG-08: Decent work and economic growth | en_US |
| dc.title | Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country : the case of India | en_US |
| dc.type | Article | en_US |