{"title":"Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention","authors":"Pami Dua, Ritu Suri","doi":"10.1177/0972652719831562","DOIUrl":null,"url":null,"abstract":"This article examines interlinkages between four major exchange rates, namely, USD–INR, EUR–INR, GBP–INR and JPY–INR in terms of returns and volatility spillovers using a vector autoregressive-multivariate GARCH–BEKK framework. In addition, we analyse the impact of RBI intervention on the returns, volatility and covariance of these exchange rates. The study finds significant bidirectional causality-in-mean and causality-in-variance between all four exchange rates. The estimation results suggest that RBI intervention in the form of net purchase of dollars leads to depreciation of INR vis-à-vis USD, EUR, GBP and JPY. Furthermore, we find that RBI intervention not only significantly affects the volatility of INR vis-à-vis USD, EUR and GBP but also explains significant amount of covariance between USD–INR and the other three exchange rates. JEL Classification: C32, G15, E58, F31","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":"18 1","pages":"S102 - S136"},"PeriodicalIF":1.2000,"publicationDate":"2019-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719831562","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Emerging Market Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/0972652719831562","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 4
Abstract
This article examines interlinkages between four major exchange rates, namely, USD–INR, EUR–INR, GBP–INR and JPY–INR in terms of returns and volatility spillovers using a vector autoregressive-multivariate GARCH–BEKK framework. In addition, we analyse the impact of RBI intervention on the returns, volatility and covariance of these exchange rates. The study finds significant bidirectional causality-in-mean and causality-in-variance between all four exchange rates. The estimation results suggest that RBI intervention in the form of net purchase of dollars leads to depreciation of INR vis-à-vis USD, EUR, GBP and JPY. Furthermore, we find that RBI intervention not only significantly affects the volatility of INR vis-à-vis USD, EUR and GBP but also explains significant amount of covariance between USD–INR and the other three exchange rates. JEL Classification: C32, G15, E58, F31
期刊介绍:
The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.