Journal Press India^®

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The objective of the paper is to examine the volatility of index of crisis, index of macroeconomic variables and index of financial variables for BRICS economies. We analyse the existence of main effects of country and indices in four periods viz., the whole period and three break-periods of pre-crisis, during-crisis and post-crisis by conducting two-way ANOVA. The paper concludes that a uniform increase in the absolute volatility in index of crisis was observed during crisis period relative to pre-crisis period for all the countries. A uniform decrease in the absolute volatility in index of crisis was observed in post crisis period relative to during-crisis period for all the countries. The absolute volatility in index of financial variable in post-crisis period relative to during-crisis period was found to decline uniformly for the sample countries with few exceptions.

Keywords

US Financial Crisis, Index of Crisis, Index of Macroeconomic Variables, Index of Financial Variables, ANOVA

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