The Indian exchange rate and Central Bank action: An EGARCH analysis

Goyal, Ashima; Arora, Sanchit

doi:10.1016/j.asieco.2011.09.001

Cited by 38 publications

(23 citation statements)

References 8 publications

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“…Before 2005, Indian rupee is effectively pegged to the U.S. dollar (Patnaik, 2004). After 2005, India has a managed float foreign exchange policy with effective interventions of the Central Bank, Reserve Bank of India (RBI) (Goyal & Arora, 2010;Lin, 2011).…”

Section: Indian Rupeementioning

confidence: 99%

The Impact of Economic Factors on the Foreign Exchange Rates between USA and Four Big Emerging Countries: China, India, Brazil and Mexico

My¹,

Sayim²

2016

IFB

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This study examines the impact of macro-economic factors on the foreign exchange rates between USA and four big emerging countries: India, Mexico, Brazil and China for the period of 2005 to 2014. This study uses Enter and Stepwise multiple regression methods to investigate the impact of market fundamental on the exchange rates. The empirical findings reveal that the macro-economic factors significantly predict and influence the exchange rates between USD/CNY (US dollar/Chinese yuan), USD/INR (US dollar/Indian rupee), USD/BRL (US dollar/ Brazilian real), and USD/MNX (US dollar/Mexican pesos). It is crucial to emphasize that the macroeconomic policies have to be implemented in order to stabilize and reduce the exchange rates volatilities.

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Section: Indian Rupeementioning

confidence: 99%

The Impact of Economic Factors on the Foreign Exchange Rates between USA and Four Big Emerging Countries: China, India, Brazil and Mexico

My¹,

Sayim²

2016

IFB

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“…They point out that the estimation techniques used have a bearing on the conclusions and that the way central bank statements are coded in empirical works also matters. Still, verbal interventions by central banks tend to reduce exchange rate volatility in a number of developed as well as emerging economies (Fratzscher, 2004;Fišer and Horváth, 2010;Lahaye et al, 2007;Goyal and Arora, 2012). 1 What is the empirical evidence for the CEE region?…”

Section: Introductionmentioning

confidence: 99%

The impact of macro news and central bank communication on emerging European forex markets

Égert

Kočenda

2014

Economic Systems

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in

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“…The finding of this paper asserts that appropriate central bank communication might improve the effect of intervention. Goyal and Arora (2010) stated that the aim of the Indian exchange rate policy is to decrease volatility. In their study of the Indian economy, they used daily and monthly data sets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…8, No. 9;2015 This method is considered useful and effective to study volatility with daily data series. GARCH can estimate both the mean and variance (Edison and Liang, 1999).…”

Section: Wwwccsenetorg/ibrmentioning

confidence: 99%

Would Central Banks’ Intervention Cause Uncertainty in the Foreign Exchange Market?

Merza¹

2015

IBR

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This paper investigates the effect of intervention by the central Banks of Australia, Turkey, and Russia on the Australian dollar, the Turkish lira, and the Russian ruble, respectively. This paper covers various sample periods, depending on data availability: Jan. 3, 1989-Dec. 12, 2014 for Australia, Jan. 2, 2002-Dec. 12, 2014 for Turkey, and Jan. 10, 2013-Dec. 10, 2014 for Russia.The econometric method that is used in this paper is the GARCH (1, 1) model. This model is used to measure the effect of intervention by central banks on the volatility of the local currencies for the time periods described. In addition, this paper explores the estimation of the effect of official intervention on the amount of appreciation and deprecation of the three currencies.The findings of this research are that intervention is related to significant volatility and uncertainty in the official exchange rate. This result was found for Australia and Russia but not for Turkey. One possible reason for that may be the nature of the frequency of intervention by the Central Bank of Turkey. In other words, the rare intervention of the central bank was associated with stability in the exchange rate.

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The Indian exchange rate and Central Bank action: An EGARCH analysis

Cited by 38 publications

References 8 publications

The Impact of Economic Factors on the Foreign Exchange Rates between USA and Four Big Emerging Countries: China, India, Brazil and Mexico

The Impact of Economic Factors on the Foreign Exchange Rates between USA and Four Big Emerging Countries: China, India, Brazil and Mexico

The impact of macro news and central bank communication on emerging European forex markets

Would Central Banks’ Intervention Cause Uncertainty in the Foreign Exchange Market?

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