Exchange Rate Policy and Modelling in India

Hardcover | March 2, 2012

byPami Dua, Rajiv Ranjan

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Exchange rate fluctuations affect the value of international investment portfolios, competitiveness of exports and imports, value of international reserves, currency value of debt payments, and the cost to tourists in terms of the value of their currency. Movements in exchange rates,therefore, have significant implications for the economy's business cycle, trade, and capital flows. This book provides a comprehensive analysis of the foreign exchange market in India in terms of participants, instruments and the trading platform, as also turnover and forward premia. The book covers four broad areas: (i) various facets of economic policy with respect to the exchange rate; (ii) the recent global financial crisis and the role of exchange rates therein; (iii) the pattern of capital flows and capital account liberalization; and (iv) modelling and forecasting theexchange rate. The authors contextualize the evolution of the Indian foreign exchange market from a highly regulated market to a deep, liquid, and efficient market in the 1990s, and focus on how large capital flows have impacted the exchange rate policy. More important, they develop a model for therupee-dollar exchange rate taking into account variables from monetary and micro structure models as well as other variables such as central bank intervention.

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From the Publisher

Exchange rate fluctuations affect the value of international investment portfolios, competitiveness of exports and imports, value of international reserves, currency value of debt payments, and the cost to tourists in terms of the value of their currency. Movements in exchange rates,therefore, have significant implications for the econ...

Pami Dua is Professor and Head, Department of Economics, Delhi School of Economics at the University of Delhi. Rajiv Ranjan is Director, Department of Economic Analysis and Policy at the Reserve Bank of India, Mumbai.

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Format:HardcoverDimensions:272 pagesPublished:March 2, 2012Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198077203

ISBN - 13:9780198077206

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Table of Contents

1. Introduction2. Exchange Rate Regimes3. Exchange Rate and Exchange Rate Policy4. Foreign Exchange Market Structure and Turnover5. Manifestations of the Global Financial Crisis6. Approach to Capital Account Liberalization7. Capital Flows and Central Bank Intervention in the Foreign Exchange Market8. Modelling and Forecasting the Exchange Rate9. Concluding ObservationsAnnexureData Definition and SourcesReferencesIndex