Journal
| Title | Official Central Bank Intervention in Foreign Exchange Market: Evidence from Indian Data | |
| Author's Name | Linkon Mondal | |
| ISSN | 0974-7281 | |
| Page(s) | 80-91 | |
| Volume No. | 5 | |
| Issue Month | July,2013 | |
| Keywords | Exchange Rate Intervention; Exchange Rate Volatility; GARCH Model; Market Based Exchange Rate; News. | |
| Abstract | The present study attempts to investigate the effectiveness of Reserve Bank of India’s (RBI) intervention policy in foreign exchange market. To investigate the issue, this study estimates various specifications of GARCH model for the time period spanning from 22nd October 1993 to 30th June 2012 to capture the consequences of market based exchange rate system which were introduced in March 1993. The estimates show that exchange rate depreciates in response to the RBI’s purchase of foreign exchange. Whereas, bad news has statistically significant positive impact on exchange rate; implying that rupee depreciates in response to bad news. Both buying and selling interventions help in reducing exchange rate volatility. Selling operation is relatively more effective as compared to buying operation. |
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