Impact of Subprime Crisis on Macroeconomic Factors of us and India
Keywords:
Subprime Crisis, VAR, Impluse Response FunctionAbstract
For the purpose of studying the impact of sub-prime crisis on macroeconomic factors of US and India the data collected has been split into two parts, Pre-crisis period (from April, 2005 to June, 2007) and Post-crisis period (from July, 2007 to June, 2013). Monthly data (from April, 2005 to June, 2013) of all the variables have been used for analysis purpose. Different set of techniques and tests have been applied to accomplish the objective. Descriptive statistical techniques like mean, standard deviation, variance, etc. are carried out to show the nature and basic features of the variables used in the analysis. ADF test was applied to examine the stationary feature of time series data. After that Johensen Co integration test was applied to see whether the variables Co integrated or not through Trace value and Max Eigenvalues. Next Vector error correction model has been applied to test the short and long term association among the variables to have a deep insight about the impact of sub-prime crisis on macroeconomic factors of US and india. At the last impulse response function was applied which include the application of a unit shock to each variable and see its effect on VAR system.
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