Structural break, US financial crisis and macroeconomic time series: evidence from BRICS economies

Abstract

This paper analyses the overall trend of key macroeconomic variables of BRICS nations impacted by the US financial crises (2008–2009) through structural break analysis for period 2000–2013. Dummy variable model using exogenous break-date examines intercept and trend shift simultaneously in a single linear equation. The analysis statistically establishes that different variable of the countries endured varying level (severity) of the crisis impacted. Results found both immediate and lagged manifestation of the crisis impact on variables. The study’s exclusivity lies in exposing the exact period of crisis impact on each variable and also in capturing their exact trend movements. The paper contributes in isolating sensitive variables (sensitive/resilient to exogenous shocks) for further research on crises.

Keywords:

• BRICS
• dummy variables
• exogenous break-period
• structural break
• US financial crisis

JEL Code:

• G20
• G28
• C29

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Notes on contributors

Anjala Kalsie

Anjala Kalsie is associated with Faculty of Management Studies, University of Delhi, India in the capacity of Faculty Finance. She has 15 years of teaching experience. She is Bachelor of Commerce, Masters in Commerce, MPhil. and Ph.D from Delhi School of Economics, Department of Commerce, University of Delhi. She is also a Fellow Member of the Institute of Company Secretaries of India, an autonomous statutory body constituted under an Act of parliament of Government of India, since 2003. She has published numbers of empirical and conceptual papers in various national and international journals of repute. She has also presented papers in various national and international conferences. She has won 1stposition in the Best Paper Award Competition in various International Conference. Her papers have also figured in top 10 papers of SSRN. The areas of her interests are Financial Economics, Currency and Financial crises and Valuation. She has done extensive work on Corporate Restructuring Synergies and crises. She has a rich experience in imparting Management Development Programme. She is Content Writer and paper coordinator for MOOC’s for a UGC Project, under the NMEICT mission MHRD, Govt. of India.

Ashima Arora

Dr. Ashima Arora is currently teaching finance specialized management courses at University of Delhi. She has completed her Ph.D in International Finance from Faculty of Management Studies, University of Delhi, India. She had been a recipient of Junior Research Fellowship and Senior Research Fellowship awarded by University Grant Commission. She has more than 20 published papers in both national and international journals. She has presented papers at both national and international conferences and seminars. Her area of scholarly interest is International Finance, International Crisis, Financial Modeling, Corporate Governance, Financial Derivatives, Econometrics. She has also authored modules for paper of E-PG Pathshala (major) project sponsored by UGC under NMEICT mission of MHRD, Government of India.