Exchange Rate And Central Bank Intervention In India: An Empirical Analysis

Dua, Pami; Suri, Ritu

doi:10.1353/jda.2018.0026

Cited by 5 publications

(3 citation statements)

References 13 publications

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“…Goyal et al (2009) found RBI intervention to be effective in influencing USD–INR exchange rate returns and its volatility using GMM-IV, monthly data (2002–2008) and daily data (November 2005–May 2008). Dua and Suri (2018) also found the same result as compared to the results drawn by Goyal et al (2009) using GMM-IV and the monthly data from August 1996 to October 2016. Pattanaik and Sahoo (2003), using OLS and 2SLS on monthly data since June 1995, found that RBI intervention was not effective in affecting USD–INR exchange rate returns, but was successful in influencing its volatility.…”

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confidence: 82%

“…Given the recent turbulence in the exchange rate markets worldwide, partly due to the emergence of the global financial crisis (GFC) and the Eurozone debt crisis (EZDC), the efficacy of central bank intervention has garnered the attention of economists, market analysts, investors and forecasters. To understand the severity of the impact, the theoretical and empirical literature, pertaining particularly to the effect of central bank intervention in exchange rate markets of emerging economies like India (such as Dua & Suri, 2018; Dua & Ranjan, 2012; Goyal, Nair, & Samantaraya, 2009), has grown immensely in the last decade. 5…”

Section: Introductionmentioning

confidence: 99%

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Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention

Dua

Suri

2019

Journal of Emerging Market Finance

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This article examines interlinkages between four major exchange rates, namely, USD–INR, EUR–INR, GBP–INR and JPY–INR in terms of returns and volatility spillovers using a vector autoregressive-multivariate GARCH–BEKK framework. In addition, we analyse the impact of RBI intervention on the returns, volatility and covariance of these exchange rates. The study finds significant bidirectional causality-in-mean and causality-in-variance between all four exchange rates. The estimation results suggest that RBI intervention in the form of net purchase of dollars leads to depreciation of INR vis-à-vis USD, EUR, GBP and JPY. Furthermore, we find that RBI intervention not only significantly affects the volatility of INR vis-à-vis USD, EUR and GBP but also explains significant amount of covariance between USD–INR and the other three exchange rates. JEL Classification: C32, G15, E58, F31

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confidence: 82%

Section: Introductionmentioning

confidence: 99%

Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention

Dua

Suri

2019

Journal of Emerging Market Finance

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“…The economy converted its exchange rate system into fully oating exchange rate regime in 2015 (BIS, 2016). The Indian economy has followed the managed oating exchange rate system since the March 1993 in ation targeting framework regime from 2016 onwards (Dua & Ranjan, 2012).…”

Section: Literature Reviewmentioning

confidence: 99%

A study of the Effectiveness of Central Bank Intervention in BRICS countries

2022

Preprint

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This paper examined the Effectiveness of the intervention of the central bank and macroeconomic indicators with the exchange rates among BRICS countries. We found that foreign exchange intervention in Russia, India and China can reduce exchange rate volatility; thereby, they may be presumed effective in reducing the exchange rate volatility. Interestingly, the intervention by the central bank of Brazil was found to be insignificant, while the intervention from South Africa's central bank was found to increase exchange rate volatility. Based on these results, we conclude that the intervention of the central banks in Brazil and South Africa is ineffective in controlling volatility. The empirical results show an asymmetry in central bank intervention and the presence of Purchasing Power Parity theory in BRICS nations. More than that, the study found that the central bank fears appreciation rather than depreciation. JEL Code: E58, F31.

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Capital flows and exchange rate volatility: experience of emerging economies

Rafi

Ramachandran

2018

Ind. Econ. Rev.

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Exchange Rate And Central Bank Intervention In India: An Empirical Analysis

Cited by 5 publications

References 13 publications

Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention

Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention

A study of the Effectiveness of Central Bank Intervention in BRICS countries

Capital flows and exchange rate volatility: experience of emerging economies

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