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Central bank intervention and exchange rate behaviour : empirical evidence for India
https://doi.org/10.20561/00037816
https://doi.org/10.20561/0003781602bd9ab3-e0ec-4099-8cbc-3af7dad40b17
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
本文 (319.5 kB)
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| Item type | アジ研テクニカルレポート / IDE Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2012-10-11 | |||||
| タイトル | ||||||
| タイトル | Central bank intervention and exchange rate behaviour : empirical evidence for India | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| ID登録 | ||||||
| ID登録 | 10.20561/00037816 | |||||
| ID登録タイプ | JaLC | |||||
| 著者 |
Inoue, Takeshi
× Inoue, Takeshi |
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| 著者別名 | ||||||
| 値 | 井上, 武 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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. | |||||
| 権利 | ||||||
| 権利情報 | Copyrights 日本貿易振興機構（ジェトロ）アジア経済研究所 / Institute of Developing Economies, Japan External Trade Organization (IDE-JETRO) http://www.ide.go.jp | |||||
| 収録情報 |
IDE Discussion Paper en : IDE Discussion Paper 巻 353, 発行日 2012-06-01 |
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| 出版者 | ||||||
| 出版者 | Institute of Developing Economies (IDE-JETRO) | |||||
| 著者版フラグ | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 338.95 | |||||
| JEL分類 | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL:E58 - Central Banks and Their Policies | |||||
| JEL分類 | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL:F31 - Foreign Exchange | |||||
| 地域/国名 | ||||||
| 位置情報（自由記述） | インド | |||||
| キーワード(LSH) | ||||||
| 主題Scheme | Other | |||||
| 主題 | India | |||||
| キーワード(LSH) | ||||||
| 主題Scheme | Other | |||||
| 主題 | Foreign exchange | |||||
| キーワード(LSH) | ||||||
| 主題Scheme | Other | |||||
| 主題 | Exchange control | |||||
| キーワード(LSH) | ||||||
| 主題Scheme | Other | |||||
| 主題 | Central bank | |||||
| キーワード(LSH) | ||||||
| 主題Scheme | Other | |||||
| 主題 | Causality-in-variance | |||||
| キーワード(LSH) | ||||||
| 主題Scheme | Other | |||||
| 主題 | Exchange rate | |||||
| キーワード(LSH) | ||||||
| 主題Scheme | Other | |||||
| 主題 | Intervention | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| DIG_NO | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | IDP000353_001 | |||||
