ItemArticle

Constructing an aggregate financial cycle for India: an analysis of key financial indicators

Title
Constructing an aggregate financial cycle for India: an analysis of key financial indicators
Creator
Paul, Vinuth; Rajan, Sruthi; Koyilathumpaday Sukumaran, Sujit
Description
Purpose This paper aims to develop a financial cycle for India by aggregating key financial indicators from different sectors of the financial system and then comparing it with the business cycle to understand the macroeconomic implications. Design/methodology/approach The research uses various econometric tests to analyze the relationship among the financial indicators before applying the principal component analysis and filtering technique to extract the aggregate financial cycle. After this, the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model is applied to understand how it interacts with the economy. Findings The result of this study creates an aggregate financial cycle that effectively reflects the most influential components of the financial system, empowering policymakers to measure and safeguard the stability of the financial system and economy. Originality/value The authors contribution lies in the systematic integration of key indicators into a comprehensive aggregate financial cycle for India, which has not been thoroughly explored in existing research. This study also emphasizes the significance of banking sectors and other financial intermediaries that were undermined in the existing financial cycle studies. 2025 Emerald Publishing Limited
Source
Journal of Financial Economic Policy;
Date
01-01-2025
Publisher
Emerald Publishing
Subject
Aggregate financial cycle; Banking sector; Credit market; Dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model; Equity market; Financial cycle components; Financial cycle movement; Financial market synchronization; G0; G1; House prices; Indian financial cycle; Principal component analysis; Turning point analysis
Coverage
Paul V., Christ University, Bengaluru, India; Rajan S., Christ University, Bengaluru, India; Koyilathumpaday Sukumaran S., Christ University, Bengaluru, India
Rights
Restricted Access; Hardcopy may be available in the library
Relation
ISSN: 17576385;
Format
online
Language
English
Type
Article

Citation

Paul, Vinuth; Rajan, Sruthi; Koyilathumpaday Sukumaran, Sujit, “Constructing an aggregate financial cycle for India: an analysis of key financial indicators,” CHRIST (Deemed To Be University) Institutional Repository, accessed June 17, 2026, https://archives.christuniversity.in/items/show/22897.

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