The Indian exchange rate and central bank action: A GARCH analysis

dc.contributor.author	Goyal, Ashima
dc.contributor.author	Arora, Sanchit
dc.date.accessioned	2012-06-01T10:21:31Z
dc.date.available	2012-06-01T10:21:31Z
dc.date.issued	2012-06-01
dc.identifier.uri	http://hdl.handle.net/2275/113
dc.description.abstract	We study, with daily and monthly data sets, the impact of conventional monetary policy measures such as interest rates, intervention and other quantitative measures, and of Central Bank communication on exchange rate volatility. Since India has a managed float, we also test if the measures affect the level of the exchange rate. Using dummy variables in the best of an estimated family of GARCH models, we find forex market intervention to be the most effective of all the CB instruments evaluated for the period of analysis. We also find that CB communication has a large potential but was not effectively used.	en_US
dc.language.iso	en	en_US
dc.relation.ispartofseries	WP;WP-2010-009
dc.subject	Exchange rate volatility	en_US
dc.subject	Monetary policy	en_US
dc.subject	Intervention	en_US
dc.subject	Communication	en_US
dc.subject	GARCH	en_US
dc.title	The Indian exchange rate and central bank action: A GARCH analysis	en_US
dc.type	Working Paper	en_US