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

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

Keywords:
Foreign exchange market, forward premia, charge per unit differential, rate volatility, commodities exchange intervention

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Posted April 13, 2019 04:00