Do Spot Rate Volatility and commodities exchange Intervention by the financial institution Impact the Forward Premia in India?

Abstract
This study investigates the impact of rate of exchange volatility additionally as commodity exchange intervention on forward premia within the Indian case. The study finds that the rate of exchange volatility absolutely impacts month-over-month change in forward premia. In fact, inclusion of the rate of exchange volatility is found to cut back the out-of-sample forecast error of forward premia. commodity exchange intervention, however, isn't found to own any important impact on the forward premia.

Keywords:
Foreign exchange market, forward premia, rate differential, rate of exchange volatility, commodity exchange intervention

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Posted April 11, 2019 05:57