Do Spot Rate Volatility and Forward Market Intervention by the Central Bank Impact the Forward Premia in India?

Dipankar Biswas, Sunil Kumar and Anand Prakash
Additional contact information
Dipankar Biswas: Department of Financial Markets Operations, Reserve Bank of India, Mumbai – 400001, India
Sunil Kumar: Department of Economic and Policy Research, Reserve Bank of India, Mumbai – 400001, India
Anand Prakash: Department of Financial Markets Operations, Reserve Bank of India, Mumbai – 400001, India

Post-Print from HAL

Abstract: This study investigates the impact of exchange rate volatility as well as forward market intervention on forward premia in the Indian case. The study finds that the exchange rate volatility positively impacts month-over-month change in forward premia. In fact, inclusion of the exchange rate volatility is found to reduce the out-of-sample forecast error of forward premia. Forward market intervention, however, is not found to have any significant impact on the forward premia.

Date: 2018-04-20
References: Add references at CitEc
Citations:

Published in Asian Journal of Economics, Finance and Management , 2018, 1 (1), pp.1-12

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05303166

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().