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Please use this identifier to cite or link to this item: http://hdl.handle.net/2344/1178

タイトル: Central bank intervention and exchange rate behaviour : empirical evidence for India
著者: Inoue, Takeshi
井上, 武
キーワード: India
Foreign exchange
Exchange control
Central bank
Causality-in-variance
Exchange rate
Intervention
Issue Date: Jun-2012
出版者: Institute of Developing Economies, JETRO
引用: IDE Discussion Paper. No. 353. 2012.6
抄録: This paper examines the causal relationship between central bank intervention and exchange returns in India. Using monthly data from December 1997 to December 2011, the empirical results derived from the CCF approach of Cheung and Ng (1996) suggest that there is causality-in-variance from exchange rate returns to central bank intervention, but not vice versa. These findings are robust in the sense that they hold in cases where the returns were measured from either the spot rate or the forward rate. Therefore, the results of this paper suggest that the Indian central bank has intervened in the foreign exchange market to respond to exchange rate volatility, although the volatility has not been influenced by central bank intervention in the form of net purchases of foreign currency in the market.
URI: http://hdl.handle.net/2344/1178
Appears in Collections:04.IDE Discussion Paper
01.経済、産業(Economy and Industry)/南アジア(South Asian Studies)

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