This analysis reveals causal relationships between GDP, exports, and inflation in India, indicating significant macroeconomic dynamics.
This study investigates the dynamic causal relationship between India’s GDP and key macroeconomic variables (exports, imports, inflation, exchange rate, BSE and NSE) over a period from January 2000 to December 2024 by using monthly data. Cointegration test has confirmed the presence of one cointegrating equation that means long-run equilibrium relationship exists along with short-run dynamics as provided by VECM estimates through HAC standard errors provided by Newey-West. The CUSUM test has confirmed overall model stability and while heteroskedasticity has been taken care of by applying HAC standard errors. The study has also shown both uni-directional as well as bi-directional casualties.
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Roy et al. (2025) studied this question.
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