This article examines interlinkages between four major exchange rates, namely, USD€"INR, EUR€"INR, GBP€"INR and JPY€"INR in terms of returns and volatility spillovers using a vector autoregressive-multivariate GARCH€"BEKK framework. In addition, we analyse the impact of RBI intervention on...
There are two features of exchange rate behaviour that are difficult to explain using conventional theoretical explanations. Firstly, exchange rates are very volatile relative to fundamentals, and secondly, departures from "fair value" are very persistent. In this paper the implications of pricing to ...