An Empirical Analysis Of The Interrelation Between Spot Market Non Deliverable Forward Market Of Usd Inr In The Pre And Post Currency Futures Era PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Empirical Analysis Of The Interrelation Between Spot Market Non Deliverable Forward Market Of Usd Inr In The Pre And Post Currency Futures Era PDF full book. Access full book title An Empirical Analysis Of The Interrelation Between Spot Market Non Deliverable Forward Market Of Usd Inr In The Pre And Post Currency Futures Era.
Author | : Saravanan A |
Publisher | : |
Total Pages | : 25 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download An Empirical Analysis of the Interrelation Between Spot Market & Non-Deliverable Forward Market of USD/INR in the Pre- and Post-Currency Futures Era Book in PDF, ePub and Kindle
The main objective of this paper is to study whether the introduction of the currency futures had an impact of the interrelation and information flows between the INR-USD spot and offshore forward (i.e., non-deliverable forward) markets. The econometric models have been used in this study, and long-term equilibrium relationship is measured through Johansen Co-integration test and Granger causality test is employed measure the short-term relationship. The result of the co-integration test proves that there exists a significant long-term equilibrium relation between the USD-INR spot and NDF rates. Causality test confirms that there is bidirectional causality between the spot and the NDF market in Sub-period 1, whereas a unidirectional causality exists in the Sub-period 2. We adopt the augmented GARCH formulation to compare NDF and spot market. We find that before currency future was introduced there existed a mean and volatility spillover effect from the NDF to spot market and vice versa, i.e., both directions. But after the introduction of currency futures, however, the results reversed with unidirectional mean spillover effect only from the NDF to the spot market. Also, the volatility spillover effect exists only in the same direction. These findings suggest that there is information flows between NDF and spot markets, Hence it is concluded that introduction of currency future has changed the direction of the dynamic relation in these two markets.
Author | : Jochen M. Schmittmann |
Publisher | : |
Total Pages | : 27 |
Release | : 2020-09-04 |
Genre | : |
ISBN | : 9781513556321 |
Download Offshore Currency Markets: Non-Deliverable Forwards (NDFs) in Asia Book in PDF, ePub and Kindle
Non-deliverable forward (NDF) markets in many Asian emerging market currencies are large, rapidly growing, and often exceed onshore markets in transaction volume. NDFs tend to price significant depreciation during market stress episodes including COVID-19. Spillovers from NDFs to onshore markets are a policymaker concern. Our analysis shows that influences tend to run both ways after controlling for differences in timezones between markets. For the COVID-19 pandemic there is some evidence of NDFs leading onshore markets for a few currencies. Policy approaches to NDFs vary widely across Asia from close integration with onshore markets to severe restrictions on NDF trading.
Author | : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : Banks and banking, Central |
ISBN | : 9789291319626 |
Download Market Volatility and Foreign Exchange Intervention in EMEs Book in PDF, ePub and Kindle
Author | : Piet Sercu |
Publisher | : Princeton University Press |
Total Pages | : 833 |
Release | : 2009-03-02 |
Genre | : Business & Economics |
ISBN | : 1400833124 |
Download International Finance Book in PDF, ePub and Kindle
International Finance presents the corporate uses of international financial markets to upper undergraduate and graduate students of business finance and financial economics. Combining practical knowledge, up-to-date theories, and real-world applications, this textbook explores issues of valuation, funding, and risk management. International Finance shows how theoretical applications can be brought into managerial practice. The text includes an extensive introduction followed by three main sections: currency markets; exchange risk, exposure, and risk management; and long-term international funding and direct investment. Each section begins with a short case study, and each of the sections' chapters concludes with a CFO summary, examining how a hypothetical chief financial officer might apply topics to a managerial setting. The book also contains end-of-chapter questions to help students grasp the material presented. Focusing on international markets and multinational corporate finance, International Finance is the go-to resource for students seeking a complete understanding of the field. Rigorous focus on international financial markets and corporate finance concepts An up-to-date and practice-oriented approach Strong real-world examples and applications Comprehensive look at valuation, funding, and risk management Introductory case studies and "CFO summaries," and end-of-chapter quiz questions Solutions to the quiz questions are available online
Author | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
Download International Convergence of Capital Measurement and Capital Standards Book in PDF, ePub and Kindle
Author | : Abdourahmane Sarr |
Publisher | : International Monetary Fund |
Total Pages | : 72 |
Release | : 2002-12 |
Genre | : Business & Economics |
ISBN | : |
Download Measuring Liquidity in Financial Markets Book in PDF, ePub and Kindle
This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Author | : Shogo Ishii |
Publisher | : |
Total Pages | : 60 |
Release | : 2001 |
Genre | : Banks and banking, Foreign |
ISBN | : |
Download Measures to Limit the Offshore Use of Currencies Book in PDF, ePub and Kindle
Author | : Christopher D. Piros |
Publisher | : John Wiley & Sons |
Total Pages | : 16 |
Release | : 2013-03-05 |
Genre | : Business & Economics |
ISBN | : 1118416333 |
Download Economics for Investment Decision Makers Book in PDF, ePub and Kindle
The economics background investors need to interpret global economic news distilled to the essential elements: A tool of choice for investment decision-makers. Written by a distinguished academics and practitioners selected and guided by CFA Institute, the world’s largest association of finance professionals, Economics for Investment Decision Makers is unique in presenting microeconomics and macroeconomics with relevance to investors and investment analysts constantly in mind. The selection of fundamental topics is comprehensive, while coverage of topics such as international trade, foreign exchange markets, and currency exchange rate forecasting reflects global perspectives of pressing investor importance. Concise, plain-English introduction useful to investors and investment analysts Relevant to security analysis, industry analysis, country analysis, portfolio management, and capital market strategy Understand economic news and what it means All concepts defined and simply explained, no prior background in economics assumed Abundant examples and illustrations Global markets perspective
Author | : Leonardo E. Stanley |
Publisher | : Anthem Press |
Total Pages | : 260 |
Release | : 2018-03-15 |
Genre | : Business & Economics |
ISBN | : 1783086750 |
Download Emerging Market Economies and Financial Globalization Book in PDF, ePub and Kindle
In the past, foreign shocks arrived to national economies mainly through trade channels, and transmissions of such shocks took time to come into effect. However, after capital globalization, shocks spread to markets almost immediately. Despite the increasing macroeconomic dangers that the situation generated at emerging markets in the South, nobody at the North was ready to acknowledge the pro-cyclicality of the financial system and the inner weakness of “decontrolled” financial innovations because they were enjoying from the “great moderation.” Monetary policy was primarily centered on price stability objectives, without considering the mounting credit and asset price booms being generated by market liquidity and the problems generated by this glut. Mainstream economists, in turn, were not majorly attracted in integrating financial factors in their models. External pressures on emerging market economies (EMEs) were not eliminated after 2008, but even increased as international capital flows augmented in relevance thereafter. Initially economic authorities accurately responded to the challenge, but unconventional monetary policies in the US began to create important spillovers in EMEs. Furthermore, in contrast to a previous surge in liquidity, funds were now transmitted to EMEs throughout the bond market. The perspective of an increase in US interest rates by the FED is generating a reversal of expectations and a sudden flight to quality. Emerging countries’ currencies began to experience higher volatility levels, and depreciation movements against a newly strong US dollar are also increasingly observed. Consequently, there are increasing doubts that the “unexpected” favorable outcome observed in most EMEs at the aftermath of the Global Financial Crisis (GFC) would remain.
Author | : David A Anderson |
Publisher | : Mdpi AG |
Total Pages | : 200 |
Release | : 2020-10-02 |
Genre | : Technology & Engineering |
ISBN | : 9783039431366 |
Download Empirical Analysis of Natural Gas Markets Book in PDF, ePub and Kindle
Recent developments in the natural gas industry warrant new analysis of related issues. Environmental, social, and governance (ESG) investments have accelerated the shift away from coal as the dominant source of electricity. Its low environmental impact, reduced volume, and broad availability make liquefied natural gas (LNG) a popular alternative, during this time of transition between traditional fuels and newer options. In the United States, the shale gas revolution has made natural gas a game changer. In this book, we focus on empirical analyses of the natural gas market and its growing relevance worldwide.