RBI Working Paper Series No. 05 Fan Chart: Methodology and its Application to Inflation Forecasting in India @Nivedita Banerjee (Email) and Abhiman Das (Email) Abstract 1Ever since Bank of England first published its inflation forecasts in February 1996, the Fan Chart has been an integral part of inflation reports of central banks around the world. The Fan Chart is basically used to improve presentation: to focus attention on the whole of the forecast distribution, ra

RBI Working Paper Series No. 03 Real Time Business Conditions Index : A Statistically Optimal Framework for India@Dipankar Biswas (E-mail) Nivedita Banerjee (E-mail) and Abhiman Das (E-mail) Abstract *The state of the real economy evolves in a continuous fashion. Economic agents and policy makers, while making decisions in real time, require accurate and timely understanding of the state of real activity. In the light of the changing nature of the economy where incre

RBI Working Paper Series No. 04 Estimation of Portfolio Value at Risk using Copula@Indrajit Roy Abstract: *In this paper we use high-frequency multivariate data and attempt to model the joint distribution (dependence structure) of daily exchange rate returns of four major foreign currencies (USD, EURO, GBP and Swiss-Franc) against Indian rupees mainly in the copula-GARCH framework. We also compute 1-day, 99% portfolio Value at Risk (VaR) using Monte Carlo simulation

Press Release RBI Working Paper Series No. 02 The Implications of Renminbi Revaluation On India’s Trade - A Study @S. Arunachalaramanan and Ramesh Golait Abstract 1The Yuan exchange rate (RMB) has been a moot point in the relations between China and other trading partners from emerging and developed countries, some of whom have directly and indirectly highlighted the impact on their trade in general and exports in particular due to revaluation of RMB. In the Indian

Press Release RBI Working Paper Series No. 01 An Empirical Analysis of The Relationship Between Currency Futures And Exchange Rates Volatility In India @Somnath Sharma Abstract 1India moved away from pegged exchange rate to the Liberalized Exchange Rate Management System (LERMS) in 1992 and the market determined exchange rate regime in 1993 which is considered as an important structural change in the exchange rate market. With increased volatility in exchange rate