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

Dua, Pami; Suri, Ritu

doi:10.1177/0972652719831562

Cited by 8 publications

(3 citation statements)

References 42 publications

(82 reference statements)

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“…ARIMA, which is a popular univariate model, and the three multivariate cointegration models were applied to the training data series (April 1999 to December 2017) to generate respective forecasting models. Based on the post-facto forecasting performance of these models on the testing data (January 2018 to December 2019), the Johansen cointegration model emerged as the best forecasting model for CoP and IIPG, while ARIMA was the best-suited model for forecasting ELG, which was consistent with the results found by Dua et al (2023) and Telarico (2023) [54,55]. The forecasting performance of the four models for each variable during the COVID-19 period (January 2020 to December 2020) showed a distinct decline compared with their respective test data period performance, thereby establishing the socio-economic disruption effect in the three research variables.…”

Section: Discussionsupporting

confidence: 81%

Sustainable Strategies for the Indian Coal Sector: An Econometric Analysis Approach

2023

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Thermal power generation based on coal has been identified as the second largest polluting industry due to the greenhouse gas emissions caused by coal combustion. The pollution caused by this industry is not limited to power generation, but it also manifests itself throughout the use of products. Although a huge emphasis has been placed on replacing coal-based power generation with renewable resources, we showed that Indian power generation will depend on coal for more than fifty percent of its demand in the near future. In our study, we utilized a combination of linear cointegration, non-linear cointegration, ARIMA, and the VECM to forecast the use of coal based on the Indian industrial index and the amount of electricity generated through coal combustion required to meet the demand. Given that pollution and carbon emissions are inherent in the coal usage cycle, we drafted policy implications and recommendations to mitigate the consequences, green the coal usage cycle, and improve the coal supply chain.

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Section: Discussionsupporting

confidence: 81%

Sustainable Strategies for the Indian Coal Sector: An Econometric Analysis Approach

2023

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“…The results of ADF test is presented in Table 2. Hasan (2004), Jain (2016), Aravind (2017), Dua (2019), Rehman (2022) and Wawale (2022).…”

Section: Resultsmentioning

confidence: 99%

Does FX market in India integrated to exchange rate theories? a review amidst COVID-19

Aravind

2023

CyA

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The exchange rate theories argue that the parity between two currencies is determined by various macroeconomic factors prevailing across economies. It is quite interesting to examine what happened to currency exchange rates in a period of inactivity for the overall economies due to COVID-19 outbreak. In this context a study was carried out during the period of turbulence to empirically test whether foreign exchange market in India moves in accordance with the principles of exchange rate theories. The bound test of co-integration (Pesaran,et.al., 2001) was employed to examine the evidence of a long-run relationship between the macroeconomic variables with the exchange rate of hard currencies such as USD, EUR, GBP and JPY against INR. The cross sectional relationship was further validated by using auto regressive distributed lag (ARDL) model. The absolute version of purchasing power parity theory (PPP) is evident in the Indian foreign exchange market as the analysis established a strong integration of Wholesale Price Index (WPI) and Consumer Price Index (CPI) with leading hard currencies such as USD, EUR and JPY. The association of 364 days Treasury bill return (TBR) and government Bond Return (GBR) further confirmed the postulation of Interest Rate Parity (IRP) theory as any increase in interest rate can cause exchange rate depreciation to INR. Results of this study add to the existing literature by confirming the bondage between price levels across the economies and the exchange rates during COVID-* Corresponding author.

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“…Alike stock markets, foreign exchange markets across nations also exhibit mean and volatility spillovers. Among the strong currencies, US dollar, Euro, pound, and yen exhibit substantial mean and volatility spillovers towards the Indian rupee (Dua & Suri, 2019). Similarly among the BRIC nations, the foreign exchange market of the USA exhibits a long-run cointegrating relationship with India and China (Aroul & Swanson, 2018).…”

Section: Background and Literature Reviewmentioning

confidence: 99%

Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

Mahalakshmi

Thiyagarajan

Vasudevan

et al. 2022

Journal of Emerging Market Finance

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India is a major Asian economy that has attracted global investment due to its economic stability and relatively open financial markets. We investigate the return and volatility spillover effects between the Indian rupee against US dollar and stock index volatility in neighboring (Asian) nations. Consistent with the uncovered equity parity, we find that when the rupee depreciates against US dollar, the foreign institutional investors pull back their portfolio investments from other Asian markets and invest in Indian stock market, similarly if rupee appreciates they may divest their investments to gain profits. The unidirectional causality from the exchange rate to all stock indices is indicated by the causality in the mean approach. Our study shows a strong linkage between the currency value of a stable economy and the economies with which it has strong trade ties. Further, the results also show that investors adjust their position in the related markets during periods of currency appreciation and depreciation in an economy with significant growth prospects. JEL Codes: F31, D53, B23

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

Cited by 8 publications

References 42 publications

Sustainable Strategies for the Indian Coal Sector: An Econometric Analysis Approach

Sustainable Strategies for the Indian Coal Sector: An Econometric Analysis Approach

Does FX market in India integrated to exchange rate theories? a review amidst COVID-19

Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

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