Central bank intervention and exchange rate behaviour: empirical evidence for India

Takeshi Inoue

No 353, IDE Discussion Papers from Institute of Developing Economies, Japan External Trade Organization(JETRO)

Abstract: 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.

Keywords: India; Foreign exchange; Exchange control; Central bank; Causality-in-variance; Exchange rate; Intervention (search for similar items in EconPapers)
JEL-codes: E58 F31 (search for similar items in EconPapers)
Date: 2012-06-01
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in IDE Discussion Paper = IDE Discussion Paper, No. 353. 2012-06-01

Downloads: (external link)
https://ir.ide.go.jp/record/37821/files/IDP000353_001.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: CENTRAL BANK INTERVENTION AND EXCHANGE RATE BEHAVIOR: EMPIRICAL EVIDENCE FOR INDIA (2015)
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:jet:dpaper:dpaper353

Ordering information: This working paper can be ordered from
Publication Office, IDE 3-2-2 Wakaba, Mihama-ku, Chiba-shi, Chiba 261-8545 JAPAN
http://www.ide.go.jp/English/Publish/Order

Access Statistics for this paper

More papers in IDE Discussion Papers from Institute of Developing Economies, Japan External Trade Organization(JETRO) Contact information at EDIRC.
Bibliographic data for series maintained by Michitaka Imamitsu ().