Volatility Spillover in India, USA and Japan Investigation of Recession Effects

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of production and dreams of global dominance in the world wide market place. An important result of these capital flows was its impact on linkages of global asset returns and spillover of volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken for this purpose. This paper concludes that contemporary volatility of the Japan capital markets influenced Sensex in the pre-recession period but in the post recession there was no significant contemporaneous spillover from USA and Japan capital markets to Sensex. However, US became a significant factor while considering dynamic spillover in the post recession era. Also, there was no bidirectional volatility spillover from India to US. But, the study showed evidence of dynamic volatility spillover from Indian market to Japanese Capital market

Relationships among Household Saving, Public Saving, Corporate Saving and Economic Growth in India

This paper examines the relationship between the growth rates of household saving, public saving, corporate saving and economic growth in India using multivariate Granger causality tests. The conventional wisdom suggests that the causality flows from saving to economic growth. We show that the causality goes in the opposite direction for India. Hence, higher saving is the consequence of higher economic growth and not a cause.Economic growth; public saving; corporate saving; household saving

Noise-free Stochastic Resonance in Simple Chaotic Systems

The phenomenon of Stochastic Resonance (SR) is reported in a completely noise-free situation, with the role of thermal noise being taken by low-dimensional chaos. A one-dimensional, piecewise linear map and a pair of coupled excitatory-inhibitory neurons are the systems used for the investigation. Both systems show a transition from symmetry-broken to symmetric chaos on varying a system parameter. In the latter state, the systems switch between the formerly disjoint attractors due to the inherent chaotic dynamics. This switching rate is found to ``resonate'' with the frequency of an externally applied periodic perturbation (either parametric or additive). The existence of a resonance in the response of the system is characterized in terms of the residence-time distributions. The results are an unambiguous indicator of the presence of SR-like behavior in these systems. Analytical investigations supporting the observations are also presented. The results have implications in the area of information processing in biological systems.Comment: 12 pages LaTex, using elsart.cls. 7 figures. To appear in Physica A (1999

On the predictive behaviour of the Indian monsoon in June 2009

Francis and Gadgil1 have made many interesting correlations of meteorological variables and events, and have proposed that unfavourable SST (sea surface temperature)gradient between the Bay of Bengal and EEIO (eastern equatorial Indian ocean) led to the large deficit of monsoon rainfall in 2009. In their own words, ‘. . . a drought was not expected from the predictions generated by the leading centres in the world using complex models of the coupled ocean–atmosphere system. Models had generally predicted above average rainfall for June–July–August (JJA) over most of the Indian region, which is almost the opposite to what was observed’