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...

This paper undertakes a Macro Prudential Analysis (MPA) of credit risk, the predominant risk category of Indian Public Sector Banks (PSBs). Assuming bank-specific shocks to be nil at the micro level, the paper employs a recursive Vector Auto-Regression (VAR) methodology to examine the...

The study presents an early warning system for predicting banking fragility in India. Using the index method, distress episodes in the banking system are identified during 1994–2007. On the basis of standard tools of probit regression models, the results indicate growing interlinkages of...

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...