In this paper we model the volatility patterns of the BSE Bankex index based on daily data using both symmetric and asymmetric GARCH models. Our findings reveal asymmetric GARCH models having leverage property uncover uneven market reactions to positive and negative innovations thus rendering...

The paper undertakes a macroprudential analysis of the credit risk of Public Sector Banks during the liberalization period. Using the Vector Autoregression methodology, the paper investigates the dynamic impact of changes in the macroeconomic variables on the default rate, the Financial...

The experiences of the global financial crisis reveal that the spillover effects of the current global financial imbalances undermine the financial stability of different countries. In this emerging scenario, country-specific studies for identifying leading indicators of financial crisis appear...