RBI Working Paper Series 11: Non Deliverable Forwards and Onshore Indian Rupee Market: A Study on Inter-linkages - আৰবিআই - Reserve Bank of India
RBI Working Paper Series 11: Non Deliverable Forwards and Onshore Indian Rupee Market: A Study on Inter-linkages
The Reserve Bank of India, today placed on its website, a Working Paper titled “Non Deliverable Forward (NDF) and Onshore Indian Rupee Market: A Study on Inter-linkages” under the Reserve Bank of India Working Paper Series. The paper has been authored by Rajan Goyal, Rajeev Jain and Soumasree Tewari. In this paper, the authors have examined the inter-linkages of onshore segments of India’s foreign exchange market with NDF market for Indian rupee (INR). Sample period of the study from June 6, 2006 to April 3, 2013, has been divided into four sub-periods based on appreciating/depreciating trend in INR. To examine the direction of transmission between onshore and NDF markets, vector error correction model and ARCH/GARCH models are used. Major findings of the paper are:
*The Reserve Bank of India introduced the RBI Working Papers series in March 2011. These papers present research in progress of the staff members of the Reserve Bank and are disseminated to elicit comments and further debate. The views expressed in these papers are those of authors and not those of the Reserve Bank of India. Comments and observations may kindly be forwarded to authors. Citation and use of such papers should take into account its provisional character. Sangeeta Das Press Release : 2013-2014/1248 |