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

Goyal, Ashima; Arora, Sanchit - Indira Gandhi Institute of Development Research (IGIDR) - 2010

, intervention and other quantitative measures, and of Central Bank communication on exchange rate volatility. Since India has a … 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. …

Persistent link: https://www.econbiz.de/10008461013

The Indian exchange rate and Central Bank action: An EGARCH analysis

Goyal, Ashima; Arora, Sanchit - In: Journal of Asian Economics 23 (2012) 1, pp. 60-72

We analyze the impact of conventional monetary policy measures such as interest rates, intervention, and other … quantitative measures, on exchange rate level and volatility, and compare these to the impact of Central Bank communication using … dummy variables in the best of a family of GARCH models estimated with daily and monthly Indian data. Since India has a …

Persistent link: https://www.econbiz.de/10010572339

Central bank transparency and exchange rate volatility effects on inflation-output volatility

Papadamou, Stephanos; Sidiropoulos, Moïse; … - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 125-133

Persistent link: https://www.econbiz.de/10011715915

Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data

Aron, Janine; Creamer, Kenneth; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2013

A sizeable literature examines exchange rate pass-through to disaggregated import prices but very few micro-studies focus on consumer prices. This paper explores exchange rate pass-through to consumer prices in South Africa during 2002-2007, using a unique data set of highly disaggregated data...

Persistent link: https://www.econbiz.de/10011084277

exchange market pressure

Jager, Henk; Klaassen, Franc - Palgrave Macmillan

Currencies can be under severe pressure in the foreign exchange market, but in a fixed (or managed) exchange rate regime that is not fully visible via the change in the exchange rate. Exchange market pressure (EMP) is a concept developed to nevertheless measure the pressure in such cases. This...

Persistent link: https://www.econbiz.de/10009395639

Living with flexible exchange rates: issues and recent experience in inflation targeting emerging market economies

Ho, Corrinne; McCauley, Robert N. - Bank for International Settlements (BIS) - 2003

This overview paper examines two main issues. The first is why the exchange rate matters, especially for emerging market economies. The second is under what circumstances and how countries have dealt with the challenges posed by the exchange rate in recent years in the context of inflation...

Persistent link: https://www.econbiz.de/10005063357

Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period

Demirbas, Erkan; Can, Nurettin - In: Journal of central banking theory and practice 11 (2022) 3, pp. 155-178

This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM …

Persistent link: https://www.econbiz.de/10013407510

Reserve options mechanism : the new monetary policy tool of CBRT and its effect on exchange rate volatility

Gok, Ibrahim Yasar - In: International journal of business and economic sciences … 9 (2016) 3, pp. 50-54

volatility are analyzed by applying GARCH (1,1) model and using the data for the period 09.30.2011- 06.03.2016. Findings – It is …

Persistent link: https://www.econbiz.de/10011593647

Central Bank Communication and Exchange Rate Volatility : A GARCH Analysis

Horvath, Roman; Fiser, Radovan - 2009

We examine the effects of the Czech National Bank communication, macroeconomic news and interest rate differential on … central bank communication has a calming effect on exchange rate volatility. The timing of central bank communication seems to … matter, too, as financial markets respond more to the communication before the policy meetings than after them. Next …

Persistent link: https://www.econbiz.de/10014202650

Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries

Berganza, Juan Carlos; Broto, Carmen - 2011

Emerging economies with inflation targets (IT) face a dilemma between fulflling the theoretical conditions of "strict IT", which implies a fully flexible exchange rate, or applying a "flexible IT", which entails a de facto managed floating exchange rate with forex interventions to moderate...

Persistent link: https://www.econbiz.de/10012148628

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