Table 2.

Correlation matrix of log-return series of benchmark financial indies and global and local macroeconomic indicators

	NIFTY	Gold	USDINR	Govt. Bond	N-Krishi	GDP	Inflation	Fed	Crude	Real Dollar Index	SPX
NIFTY
Gold	0.216
USDINR	− 0.721	− 0.383
Govt. Bond	0.136	− 0.035	− 0.167
N-Krishi	0.154	0.072	− 0.024	− 0.001
GDP	− 0.049	− 0.077	− 0.165	0.538	− 0.093
Inflation	0.016	− 0.014	0.233	0.118	0.164	− 0.065
Fed	0.456	− 0.155	− 0.187	0.140	0.138	0.027	− 0.038
Crude	0.519	0.189	− 0.243	− 0.103	0.208	− 0.230	0.016	0.294
Real Dollar Index	− 0.498	− 0.504	0.593	− 0.102	0.066	0.009	0.010	0.037	− 0.431
SPX	0.681	0.013	− 0.435	0.048	0.174	− 0.097	0.167	0.437	0.652	− 0.393

For Fed rate (first difference) and for Inflation (% change) has been taken for stationarity