Latest Expert Exchange Queries
sitemapHome | Registration | Job Portal for CA's | Expert Exchange | Currency Converter | Post Matrimonial Ads | Post Property Ads
 
 
News shortcuts: From the Courts | News Headlines | VAT (Value Added Tax) | Service Tax | Sales Tax | Placements & Empanelment | Various Acts & Rules | Latest Circulars | New Forms | Forex | Auditing | Direct Tax | Customs and Excise | ICAI | Corporate Law | Markets | Students | General | Indirect Tax | Mergers and Acquisitions | Continuing Prof. Edu. | Budget Extravaganza | Transfer Pricing
 
 
 
 
Popular Search: ICAI offer Get Windows 7,Office 2010 in Rs.799 Taxes :: cpt :: ACCOUNTING STANDARD :: Central Excise rule to resale the machines to a new company :: list of goods taxed at 4% :: articles on VAT and GST in India :: due date for vat payment :: VAT Audit :: ARTICLES ON INPUT TAX CREDIT IN VAT :: ACCOUNTING STANDARDS :: TAX RATES - GOODS TAXABLE @ 4% :: empanelment :: form 3cd :: VAT RATES :: TDS
 
 
« Latest Circulars »
 Decrease in Foreign Investment limit/ceiling under the PIS in Indian Companies from 49% to 47% - M/s Ujjivan Financial Services Limited
 RBI launches the May 2017 Round of Inflation Expectations Survey of Households
  RBI announces auction of a 15-days Government of India Cash Management Bill
 Auction of Government of India Dated Securities April 24, 2017
 RBI- Compliance with Ghosh Committee Recommendations
 RBI announces auction of a 15-days Government of India Cash Management Bill
  Pradhan Mantri Garib Kalyan Deposit Scheme (PMGKDS), 2016 - Amended
 Minutes of the Monetary Policy Committee Meeting April 5-6, 2017
 Pradhan Mantri Garib Kalyan Deposit Scheme (PMGKDS), 2016 - Amended
 RBI-Professor Willem H. Buiter, Global Chief Economist, Citigroup, delivers the Sixteenth C.D. Deshmukh Memorial Lecture titled ‘The Good and the Bad Fiscal Theory of the Price Level’
 RBI launches Quarterly Order Books, Inventories and Capacity Utilisation Survey: January – March 2017 (Round 37)

RBI Working Paper Series 11: Non Deliverable Forwards and Onshore Indian Rupee Market: A Study on Inter-linkages
December, 23rd 2013

The Reserve Bank of India, today placed on its website, a Working Paper titled “Non Deliverable Forward (NDF) and Onshore Indian Rupee Market: A Study on Inter-linkages” under the Reserve Bank of India Working Paper Series. The paper has been authored by Rajan Goyal, Rajeev Jain and Soumasree Tewari.

In this paper, the authors have examined the inter-linkages of onshore segments of India’s foreign exchange market with NDF market for Indian rupee (INR). Sample period of the study from June 6, 2006 to April 3, 2013, has been divided into four sub-periods based on appreciating/depreciating trend in INR. To examine the direction of transmission between onshore and NDF markets, vector error correction model and ARCH/GARCH models are used.

Major findings of the paper are:

  • A long term relationship exists between onshore and NDF markets and the relationship is bidirectional as both markets adjust to any deviation from equilibrium state. However, bidirectional relationship turns unidirectional from NDF to onshore during the period when rupee comes under downward pressure.

  • ARCH/GARCH models also confirm broadly the same dynamics of inter-relationship through cross-mean and volatility spillover between NDF and onshore markets.

  • While both mean and volatility spillover from NDF market to onshore market and from onshore to NDF market are found to be statistically significant during the period of rupee appreciation, the volatility spillover turns unidirectional from NDF to onshore market during the period of rupee depreciation.

  • Even though both onshore and offshore segments follow an equilibrium relationship in the long-run, movements in NDF market seem to drive adjustment in onshore market when rupee faces downward pressure.

*The Reserve Bank of India introduced the RBI Working Papers series in March 2011. These papers present research in progress of the staff members of the Reserve Bank and are disseminated to elicit comments and further debate. The views expressed in these papers are those of authors and not those of the Reserve Bank of India. Comments and observations may kindly be forwarded to authors. Citation and use of such papers should take into account its provisional character.

Sangeeta Das
Director

Press Release : 2013-2014/1248

 
 
Home | About Us | Terms and Conditions | Contact Us
Copyright 2017 CAinINDIA All Right Reserved.
Designed and Developed by Binarysoft Technologies Pvt. Ltd.
Multimedia Presentations Multimedia Solutions 3D Solutions Corporate Presentations Business Presentations Multimedia Presentation India M

Transfer Pricing | International Taxation | Business Consulting | Corporate Compliance and Consulting | Assurance and Risk Advisory | Indirect Taxes | Direct Taxes | Transaction Advisory | Regular Compliance and Reporting | Tax Assessments | International Taxation Advisory | Capital Structuring | Withholding tax advisory | Expatriate Tax Reporting | Litigation | Badges | Club Badges | Seals | Military Insignias | Emblems | Family Crest | Software Development India | Software Development Company | SEO Company | Web Application Development | MLM Software | MLM Solutions