MEASURING SPILL-OVER EFFECTS BETWEEN GDP, BOND PRICES AND INFLATION RATES OF BRICS NATIONS- A MULTI-FREQUENCY ANALYSIS

Anju Motwani, Rohit Malhotra

Abstract


Historically BRICS countries have established common growth objectives. Hence, it is imperative that the macroeconomic movements in terms of GDP, Bond Prices and Inflation rates must show some common movements. Using Vector-auto regression (VAR) framework, such spill-over effects can be easily measured. It has been witnessed that considering the multi-frequency set of data, the impact of spill-over was not identical and therefore explain some interplay of unknown factors at work.

Keywords


Vector-Auto regression, OLS, Spill-over, Emerging Economies, BRICS, Macroeconomics

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• Websites

• Annual GDP data was taken from World Bank website.

• Monthly CPI inflation data was taken from inflation.edu website.

• Daily Bond Prices data was taken from investing.com website.


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