Working Papers - RBI - Reserve Bank of India
Working Papers
Oct 23, 2013
RBI WPS (DEPR): 09/2013: Corporate Pricing Power, Inflation and IIP Growth: An Empirical Investigation
Press Release RBI Working Paper Series No. 09 Corporate Pricing Power, Inflation and IIP Growth: An Empirical Investigation @Angshuman Hait, Joice John, Abhiman Das and Anujit Mitra Abstract 1Pricing power measures the extent to which a business can pass on the increases in input costs to consumers through increases in the prices of finished goods. The corporate pricing power in India has declined since 2009-10:Q1. Production has also fallen sharply since 2010-11:Q3.
Sep 25, 2013
RBI WPS (DEPR): 08/2013: Macroprudential Regulation and Bank Performance: Evidence from India
Press Release RBI Working Paper Series No. 08 Macroprudential Regulation and Bank Performance: Evidence from India @Saibal Ghosh Abstract: 1Employing data on Indian banks for 1992-2012, the article examines the impact of macroprudential measures on bank performance. First, it finds that state-owned banks tend to have lower profitability and soundness than their private counterparts. Next, it tests whether such differentials between state-owned and private banks are dr
Sep 18, 2013
RBI WPS (DEPR): 07/2013: Size of Government Expenditure Multipliers in India: A Structural VAR Analysis
Press Release RBI Working Paper Series No. 07 Size of Government Expenditure Multipliers in India: A Structural VAR Analysis @Rajeev Jain and Prabhat Kumar Abstract 1A structural vector autoregression (SVAR) framework has been used to estimate the size of government multiplier at the level of Central and the State governments in India. As a priori expected, capital outlay is found to be more growth inducing than the revenue expenditure. Since the revenue expenditure a
Aug 19, 2013
RBI WPS (DEPR): 06/2013: An Empirical Analysis of the Relationship between WPI and PMI-Manufacturing Price Indices in India
Press Release RBI Working Paper Series No. 06 An Empirical Analysis of the Relationship between WPI and PMI-Manufacturing Price Indices in India@Jeevan Kumar Khundrakpam and Asish Thomas George Abstract *Manufacturing Purchasing Managers Index (PMI) has been increasingly used by various central banks for assessing the direction and strength of economic activity. One of the sub-indices or component level information provided by PMI is that of industrial input and outp
May 09, 2013
RBI WPS (DEPR): 05/2013: Persistence of Informal Credit in Rural India: Evidence from ‘All-India Debt and Investment Survey’ and Beyond
Press Release RBI Working Paper Series No. 05 Persistence of Informal Credit in Rural India: Evidence from ‘All-India Debt and Investment Survey’ and Beyond @Narayan Chandra Pradhan Abstract *Rural credit markets in India is characterised by the coexistence of both formal and informal sources of finance and the market is fragmented. To discuss the informal rural credit issue and to maintain consistency with All India Debt and Investment Survey (AIDIS) data, this pape
May 08, 2013
RBI WPS (DEPR): 04/2013: Financial Development and Monetary Policy Transmission Across Financial Markets: What Do Daily Data tell for India?
Press Release RBI Working Paper Series No. 04 Financial Development and Monetary Policy Transmission Across FinancialMarkets: What Do Daily Data tell for India?1@Partha Ray and Edwin Prabu This paper seeks to address two questions In Indian context. First, what is the nature of integration among different segments of Indian financial markets? Second, what has been the influence of monetary policy on different segments of financial markets? As far as domestic financial
Mar 19, 2013
RBI WPS (DEPR): 03/2013: Estimation of Counterfeit Currency Notes in India - Alternative Methodologies
Press Release RBI Working Paper Series No. 03 Estimation of Counterfeit Currency Notes in India – Alternative Methodologies@Sanjoy Bose and Abhiman Das Abstract 1Alternative methodologies on estimation of counterfeit notes in the system, attempted by various countries, mostly pertain to proportions based on reported numbers vis-à-vis total figure on currency in circulation, which are having certain obvious limitations. As against, this paper suggests a probability mod
Mar 15, 2013
RBI WPS (DEPR): 02/2013: Financial Structures and Economic Development in India: An Empirical Evaluation
Press Release RBI Working Paper Series No. 02 Financial Structures and Economic Development in India: An Empirical Evaluation @Satyananda Sahoo "Finance is, as it were, the stomach of the country, from which all the other organs take their tone." - William Ewart Gladstone, 1858 Abstract 1The paper empirically evaluates the role of financial structures in economic development of India. An assessment of various indicators of financial development reveals that both the
Jan 18, 2013
RBI WPS (DEPR): 01/2013: Banking Stability - A Precursor to Financial Stability
Press Release RBI Working Paper Series No. 01 Banking Stability - A Precursor to Financial Stability@Rabi N. Mishra, S. Majumdar and Dimple Bhandia Abstract *This paper focuses on constructing a Banking Stability Map and Indicator and deducing the linkages with the financial markets and macroeconomic variables. In addition, an attempt has been made to establish the direction of causality between stability of the banking sector and overall financial stability. We attem
Dec 24, 2012
RBI WPS (DEPR): 18/2012: Estimating Impacts of Monetary Policy on Aggregate Demand in India
Press Release RBI Working Paper Series No. 18 Estimating Impacts of Monetary Policy on Aggregate Demand in India@Jeevan Kumar Khundrakpam Abstract 1Using a structural VAR model on quarterly data from 2000Q1 to 2011Q1, this paper estimated the impact of monetary policy on aggregate demand in India. The overall impact on aggregate demand is then decomposed to observe the differential impact among the various components. It finds that an interest rate hike has a signific
Dec 05, 2012
RBI WPS (DEPR): 17/2012: Asset Liability Mismatches (ALMi) in the Indian Banking Sector - The Extent, Persistence and Reasons
Press Release RBI Working Paper Series No. 17 Asset Liability Mismatches1 (ALMi) in the Indian Banking Sector – The Extent, Persistence and Reasons2 @Rakhe P.B. 3High growth observed in infrastructure loans during the recent years prompted the study to analyse the ALMi positive gap of the banking sector. During the period under study, March 2006 to September 2010, the banking sector reported ALMi positive gap to the extent of 14 per cent of long-term assets indicating
Aug 08, 2012
RBI WPS (DEPR) : 16/2012: Sustainable Level of India’s Current Account Deficit
Press Release RBI Working Paper Series No. 16 Sustainable Level of India’s Current Account Deficit@Rajan Goyal* The paper estimates sustainable level of current account deficit (CAD) for India by applying a model akin to `Domar’s Model of Debt Sustainability’ to the threshold level of net external liabilities that economy should not breach to ensure stability of the external sector. Probit analysis based on a select panel of market economies was used to arrive at the
Jul 26, 2012
RBI WPS (DEPR): 15/2012: Sovereign Debt Management and Monetary Policy in India: An Empirical Investigation of Conflict of Interest Argument
Press Release RBI Working Paper Series No. 15 Sovereign Debt Management and Monetary Policy in India: An Empirical Investigation of Conflict of Interest Argument @Sunil Kumar and N.R.V.V.M.K. Rajendra Kumar Abstract *Based on the conflict of interest argument, separation of SDM from Reserve Bank of India (RBI) has often been suggested, as both these functions vest with RBI. The main thrust of this argument is that cost minimisation for government’s market borrowing p
Jul 26, 2012
RBI WPS (DEPR): 13/2012: Fiscal Stance, Credibility and Inflation Persistence in India
Press Release RBI Working Paper Series No. 13 Fiscal Stance, Credibility and Inflation Persistence in India @Pankaj Kumar and Pratik Mitra Abstract †In the recent past India has experienced high and persistent inflation. In response the Reserve Bank of India cumulatively raised the cash reserve ratio by 100 basis points and the policy rate (repo rate) by 375 basis points between January 2010 and October 2011. Despite these policy actions, the inflation rate however c
Jul 26, 2012
RBI WPS (DEPR) : 14/2012: Determinants of Liquidity and the Relationship between Liquidity and Money: A Primer
Press Release RBI Working Paper Series No. 14: Determinants of Liquidity and the Relationship between Liquidity and Money: A Primer @A.K. Mitra and Abhilasha *The term liquidity is varyingly used signifying financial flows of various kinds, ranging from that originating from the central bank to the overall existent financing available in the banking system. By analysing the impact that central bank actions and autonomous factors such as government financial flows, for
Jun 27, 2012
RBI WPS (DEPR): 11/2012: Monetary Policy Transmission in India: A Peep Inside the Black Box
Press Release RBI Working Paper Series No. 11 Monetary Policy Transmission in India: A Peep Inside the Black Box@Jeevan Kumar Khundrakpam and Rajeev Jain Abstract 1Using SVAR models on quarterly data for 1996-97:1 to 2011-12:1, the paper examines the relative importance of various transmission channels of monetary policy to GDP growth and inflation in India. It finds that external exogenous factors prolong the impact of monetary policy transmission on GDP growth and i
Jun 27, 2012
RBI WPS (DEPR) : 12/2012: Countercyclical Capital Buffer Guidance for India
Press Release RBI Working Paper Series No. 12 Countercyclical Capital Buffer Guidance for India@Tulasi Gopinath and A.K. Choudhary* Basel Committee on Banking Supervision (BCBS) has published its guidance for operating the countercyclical capital buffer. It has, inter alia, recommended that credit-to-GDP ratio could be the buffer guide. This paper argues that BCBS buffer guide is not suitable for India and showcases an alternative buffer guide, reflecting their underl
Jun 25, 2012
RBI WPS (DEPR): 10/2012: Systemic Liquidity Index for India
Press Release RBI Working Paper Series No. 10 Systemic Liquidity Index for India @Rabi N. Mishra, G. Jagan Mohan and Sanjay Singh Abstract *Stress in liquidity is at the heart of any banking crisis in history. During the financial crisis of 2007-09, funding liquidity risk caused the collapse of interbank markets, which became the focus of authorities’ attention at restoring order. Accordingly, central banks and other regulatory bodies world-wide have been evolving pru
Jun 25, 2012
RBI WPS (DEPR): 09/2012: Monetary Transmission Mechanism in India: A Quarterly Model
Press Release RBI Working Paper Series No. 09 Monetary Transmission Mechanism in India: A Quarterly Model@Muneesh Kapur and Harendra Behera 1This paper examines monetary transmission mechanism for India in the context of a small macro model using quarterly data. Given the volatility emanating from the agricultural sector, the paper models both overall growth and overall inflation as well as non-agricultural growth and non-food manufactured products inflation, i.e., c
Jun 22, 2012
RBI WPS (DEPR): 08/2012: Volatility Transmission in the Exchange Rate of the Indian Rupee
Press Release RBI Working Paper Series No. 08 Volatility Transmission in the Exchange Rate of the Indian Rupee @Satyananda Sahoo Abstract 1The paper analyzes volatility spillovers from the exchange rates of the Brazilian Real, the Russian Ruble, the South Korean Won, the Singapore Dollar, the Japanese Yen, the Swiss Franc, the British Pound Sterling and the Euro to the exchange rate of the Indian Rupee during 2005-11. The study employs a two-step multivariate GARCH fr
May 18, 2012
RBI WPS (DEPR) : 7/2012: Measures of Nominal and Real Effective Lending Rates of Banks in India
Press Release RBI Working Paper Series No. 07 Measures of Nominal and Real Effective Lending Rates of Banks in India@Deepak Mohanty, A B Chakraborty and S Gangadaran Abstract 1 In a bank-dominated financial sector, lending rates play an important role in the transmission of monetary policy. Yet, it is difficult to observe both nominal and real interest rates in the real time. Even ex post computation of effective nominal and real rates is challenging as banks' effecti
May 18, 2012
RBI WPS (DEPR) : 6/2012: Evidence of Interest Rate Channel of Monetary Policy Transmission in India
Press Release RBI Working Paper Series No. 06 Evidence of Interest Rate Channel of Monetary Policy Transmission in India@Deepak Mohanty * With the development of domestic financial markets and gradual deregulation of interest rates, monetary policy operating procedure in India in the recent years has evolved towards greater reliance on interest rates to signal the stance of monetary policy. This process is buttressed by significant evidence that policy rate changes tr
May 07, 2012
RBI WPS (DEPR): 05/2012: Estimation of Capacity Utilisation in Indian Industries: Issues and Challenges
Press Release RBI Working Paper Series No. 05 Estimation of Capacity Utilisation in Indian Industries: Issues and Challenges@Atri Mukherjee and Rekha Misra Abstract *The estimation of capacity utilisation (CU) derives its significance from the fact that, if properly assessed, it may provide a reliable indication of incipient inflationary pressure in an economy. Measurement of CU is not confined to a unique method and can be measured for an economy, industry or plant t
Apr 20, 2012
RBI WPS (DEPR) : 04/2012: Asset Pricing Model for Inefficient Markets: Empirical Evidence from the Indian Market
Press Release RBI Working Paper Series No. 04 Asset Pricing Model for Inefficient Markets: Empirical Evidence from the Indian Market @Debasish Majumder Abstract *In the last decade, the efficient market hypothesis and its validity for emerging markets grew as a fertile topic of debate in finance. However, the dilemma of market efficiency still remains intractable. It is more likely that any literature review in respect of market efficiency would produce contradictory
Mar 27, 2012
RBI WPS (DEPR): 03/2012: Benchmarking Indian Regulatory Practices to the G20 Financial Reforms Agenda
Press Release RBI Working Paper Series No. 03 Benchmarking Indian Regulatory Practices to the G20 Financial Reforms Agenda @Anupam Prakash and Rajiv Ranjan 1Post the crisis of 2007-09, financial stability is regarded as a prime policy objective. The reemergence of threats to the banking system in the light of sovereign debt problems in advanced economies has reaffirmed the importance of pursuing financial sector reforms at the international level. The global regulato
Feb 28, 2012
RBI WPS (DEPR) : 02/2012: Gold Prices and Financial Stability in India
Press Release RBI Working Paper Series No. 02 Gold Prices and Financial Stability in India@Rabi N. Mishra and G. Jagan Mohan Abstract * There has been an almost sustained rise in the international gold prices since 2002, with just one deep correction in 2008. As gold is an integral part of savings of a large number of investors, this has raised apprehensions whether any correction in gold prices will have destabilising implications on the financial markets. In this ba
Jan 25, 2012
RBI WPS (DEPR): 01/2012: Inflation Forecasting: Issues and Challenges in India
Press Release RBI Working Paper Series No. 01 Inflation Forecasting: Issues and Challenges in India@Muneesh Kapur 1This paper focuses on modelling and forecasting inflation in India using an augmented Phillips curve framework. Both demand and supply factors are seen as drivers of inflation. Demand conditions are found to have a stronger impact on non-food manufactured products inflation (NFMP) vis-a-vis headline WPI inflation; moreover, NFMP is found to be more persis
Jan 02, 2012
RBI WPS (DEPR) : 21/2011: Inter-connectedness of Banks and NBFCs in India: Issues and Policy Implications
Press Release RBI Working Paper Series No. 21 Inter-connectedness of Banks and NBFCs in India: Issues and Policy Implications @ A Karunagaran Abstract * The recent global financial crisis (2007-09) has clearly highlighted the gravity of high financial inter-connectedness within the financial system. In the Indian context, this brief study attempts to explore the financial inter-connectedness between NBFCs (both deposit taking and non-deposit taking) with banking syst
Jan 02, 2012
RBI WPS (DEPR) :22/2011: Credit and Growth Cycles in India: An Empirical Assessment of the Lead and Lag Behaviour
Press ReleaseRBI Working Paper Series No. 22 Credit and Growth Cycles in India: An Empirical Assessment of the Lead and Lag Behaviour @ Krittika Banerjee Abstract* Procyclicality in the flow of credit has been a factor underpinning the magnified amplitudes of boom and bust phases of the business cycle, particularly in bank dominated financial systems. This paper studies the lead-lag pattern in the interaction between credit and growth cycles of India at three levels i
Dec 07, 2011
RBI WPS (DEPR): 20/2011: Credit Channel of Monetary Transmission in India - How Effective and Long is the Lag?
Press Release RBI Working Paper Series No. 20Credit Channel of Monetary Transmission in India - How Effective and Long is the Lag?@Jeevan Kumar Khundrakpam Abstract *This paper examined the operation of credit channel of monetary policy rate transmission in India during the post-LAF period of 2001:3 to 2011:3. Drawing on the literature, two reduced form equations, one representing nominal bank credit and the other real bank credit was estimated. The regression estimat
Nov 30, 2011
RBI WPS (DEPR): 19/2011: QE-II and FII inflows into India - Is there a Connection?
Press Release RBI Working Paper Series No. 19 QE-II and FII inflows into India – Is there a Connection? @Anand Shankar Abstract 1Faced with near zero interest rates, monetary easing in the form of quantitative easing (QE) undertaken after the global financial crisis in many developed countries have added to global liquidity and are said to be fuelling massive capital flows into the Emerging Market Economies. In this context, this paper traces a brief history of QE and
Oct 11, 2011
RBI WPS (DEPR): 15/2011: An Empirical Analysis of Monetary and Fiscal Policy Interaction in India
Press Release RBI Working Paper Series No. 15An Empirical Analysis of Monetary and Fiscal Policy Interaction in India@Janak Raj, J. K. Khundrakpam & Dipika Das Abstract •This study analyses the behaviour of monetary and fiscal policies interaction in India using quarterly data for 2000Q2 to 2010Q1. It finds that, even after the elimination of automatic monetisation of fiscal deficit in 1997 and prohibiting RBI from buying government securities in the primary marke
Oct 11, 2011
RBI WPS (DEPR): 13/2011 : Long Run and Short Run Saving- Investment Relationship in India
Press Release RBI Working Paper Series No. 13 Long Run and Short Run Saving- Investment Relationship in India @Bichitrananda Seth Abstract 1The present study examines short and long run relationship between gross domestic savings and investment as well as corporate sector savings and corporate sector investment in India using Engel Granger cointegration test. Also attempt is made to find out the rate of adjustment in the disequilibrium being corrected in the short ru
Oct 11, 2011
RBI WPS (DEPR): 14/2011: Recent Global Crisis and the Demand for Gold by Central Banks: An Analytical Perspective
Press Release RBI Working Paper Series No. 14 Recent Global Crisis and the Demand for Gold by Central Banks: An Analytical Perspective @A Karunagaran Abstract 1When India purchased 200 tonnes of gold under the International Monetary Fund's limited gold sales programme, it was interpreted inter alia that it may further inflate the gold price when the price was already ruling high. This motivated us to examine the general trend among the central banks’ demand for gold
Oct 10, 2011
RBI WPS (DEPR): 18/2011 : Inflation Threshold in India: An Empirical Investigation
Press Release RBI Working Paper Series No. 18 Inflation Threshold in India: An Empirical Investigation @Deepak Mohanty, A B Chakraborty, Abhiman Das and Joice John Abstract 1This paper examines the issue of the existence of threshold effects in the relationship between inflation rate and real GDP growth in India using 3 different approaches. In view of the structural changes of the economy, the empirical analysis uses data for the period of Q1:1996-97 to Q3:2010-11
Oct 10, 2011
RBI WPS (DEPR): 17/2011: Why Persistent High Inflation Impedes Growth? An Empirical Assessment of Threshold Level of Inflation for India
Press Release RBI Working Paper Series No. 17Why Persistent High Inflation Impedes Growth? An Empirical Assessment of Threshold Level of Inflation for India @Sitikantha Pattanaik G V Nadhanael Abstract *In the policy debate on growth-inflation tradeoff and the role of monetary policy in managing the tradeoff in the short-run, theoretical and empirical research suggests the presence of a country specific threshold level of inflation. Monetary policy may accommodate inf
Oct 10, 2011
RBI WPS (DEPR): 16/2011: Measures of Core Inflation in India - An Empirical Evaluation
Press Release RBI Working Paper Series No. 16 Measures of Core Inflation in India – An Empirical Evaluation @Janak Raj & Sangita Misra Abstract *This study attempts to analyse six exclusion-based measures of core inflation in India based on new series of WPI (2004-05=100). These are: WPI excluding food; WPI excluding fuel; WPI excluding food and fuel; non-food manufacturing; WPI excluding fuel and basic metals and metal products; and WPI excluding fuel, metal gro
Sep 08, 2011
RBI WPS (DEPR): 11/2011: Effects of Recent Financial Crisis on Optimal Asset Allocation of Foreign Exchange Reserves
Press Release RBI Working Paper Series No. 11 Effects of Recent Financial Crisis on Optimal Asset Allocation of Foreign Exchange Reserves@A. K. Srimany, Sneharthi Gayen and Ranjeev *Post financial crisis, yield in the developed sovereign markets is prevailing at very low level and consequently return generated by deployment of foreign exchange reserves have been very low together with increased risk of getting negative return more frequently.In this paper, we discuss
Sep 08, 2011
RBI WPS (DEPR): 12/2011: Monetary Policy and Food Prices in India
Press Release RBI Working Paper Series No. 12Monetary Policy and Food Prices in India@Jeevan Kumar Khundrakpam and Dipika Das Abstract*Using a vector error correction model (VECM), the paper examines the relative response of food and manufactured prices to change in interest rate and money supply in India during the period 2001:Q1 to 2010:Q2. It finds that, in the long-run, while money supply leads to rise in the prices of both food and manufactured prices, hike in c
Aug 04, 2011
RBI WPS (DEPR): 10/2011: Determinants of Primary Yield Spreads of States in India: An Econometric Analysis
RBI Working Paper Series No. 10 Determinants of Primary Yield Spreads of States in India: An Econometric Analysis@Dhritidyuti Bose, Rajeev Jain and L. Lakshmanan *The year 2006-07 was marked by a switch over to the auction based issuances of the State Development Loans. Presently, India’s sub-national debt market can at best be regarded at a nascent stage of development compared to other advanced economies. With an increasing emphasis on fiscal decentralisation, it is
Aug 04, 2011
RBI WPS (DEPR): 09/2011: Treatment of Valuables as Capital Formation in India: Some Issues and Perspectives
RBI Working Paper Series No. 09Treatment of Valuables as Capital Formation in India: Some Issues and Perspectives @Rakesh Kumar Abstract † As per UNSNA recommendations, valuables as a separate item had been introduced in the expenditure side of GDP. Since India is one of largest importer and user of gold for various purposes, this treatment resulted into higher share of valuables in capital formation in the economy. Moreover, from conceptual aspect, these valuables a
May 31, 2011
RBI WPS (DEPR): 06/2011: The Velocity Crowding-out Impact: Why high money growth is not always inflationary
RBI Working Paper Series No. 06 The Velocity Crowding-out Impact: Why high money growth is not always inflationary @Sitikantha PattanaikSubhadhra S Abstract: In the mainstream monetary policy consensus that prevailed prior to the global crisis, there was increasing de-emphasis on money and credit aggregates in the conduct of monetary policy, because of the overwhelming faith on the interest rate, both as an instrument of policy and as an indicator of overall monetary
May 31, 2011
RBI WPS (DEPR): 07/2011: Sensitivity of Capital Flows to Interest Rate Differentials: An Empirical Assessment for India
RBI Working Paper Series No. 07 Sensitivity of Capital Flows to Interest Rate Differentials: An Empirical Assessment for India @Radheshyam Verma and Anand Prakash *In the aftermath of the global financial crisis, multi-speed recovery and divergent inflationary trends have led to asymmetric monetary exit between Emerging Market Economies (EMEs) and the advanced economies. An outcome of this process has been return of excessive capital flows to EMEs, exerting pressure o
May 31, 2011
RBI WPS (DEPR): 05/2011: Fan Chart: Methodology and its Application to Inflation Forecasting in India
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
May 02, 2011
RBI WPS (DEPR): 03/2011: Real Time Business Conditions Index : A Statistically Optimal Framework for India
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
May 02, 2011
RBI WPS (DEPR): 04/2011 : Estimation of Portfolio Value at Risk using Copula
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
Apr 01, 2011
RBI WPS (DEPR): 02/2011: The Implications of Renminbi Revaluation On India’s Trade - A Study
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
Apr 01, 2011
RBI WPS (DEPR): 01/2011: An Empirical Analysis of The Relationship Between Currency Futures And Exchange Rates Volatility In India
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
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