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| Article Name : | | | An Empirical Investigation Of Casual Relationship Among Monetary Variables And Nse Bank Nifty Index In India | | Author Name : | | | Shinil Sebastian,Veerta Tantia | | Publisher : | | | Ashok Yakkaldevi | | Article Series No. : | | | GRT-2629 | | Article URL : | |  | Author Profile View PDF In browser | | Abstract : | | | This study analyses the long term relationship between NSE bank index and important monetary variables for the period January 2000 to November 2011.Monetary variables included in the study are money supply , long term interest rates, foreign exchange rates and whole sale price index. The data have been examined using multivariate co integration analysis, Granger causality analysis and vector auto regression (VAR) model to analyze the nature of relationship among the variables. Johansen and Juselius' multivariate co integration analysis indicates the presence of a long-term dynamic relationship between the NSE bank nifty and monetary variables. Unidirectional Granger causality is found between monetary variables and the NSE bank nifty index. Unidirectional casual relationship is found in between foreign exchange rates and long term interest rates with bank nifty. And also found that interest rates and whole sale price index have bidirectional relationship. From the VAR analysis found that changes in foreign exchange rates and long term interest rates have negative causal effect on NSE bank Nifty. Money supply and inflation doesn't show any significant causal relationship with NSE Bank Nifty Index. | | Keywords : | | - Empirical , Variables , Casual Relationship , Analyses.,
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