Indian Foreign Exchange Market: A Study Into Volatility And Regime Switch

ISBN 10: 3847346512 / ISBN 13: 9783847346517
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Indian Foreign Exchange Market: A Study Into Volatility And Regime Switch. N° de ref. de la librería

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Sinopsis: A volatile foreign exchange market takes a toll on the economy?s international competitiveness. Excess forex volatility affects the stock markets and international trade as well. The negative impact may even spread to other countries in form of volatility spillover. This study aims to analyze the volatility dynamics in context of Indian Rupee vis-a-vis some selected foreign currencies. In that process, it uses ARCH models, long memory and structural breaks to examine the nature of volatility. The study then investigates any possible volatility spillover from stock markets to understand the possible source of exchange rate volatility. However, the stock markets fail to explain the exchange rate volatility completely. To understand the underlying volatility dynamics, the possible non-linear nature of the exchange rates is examined. All exchange rates turn out to be chaotic in nature. It has some serious policy implications as in a chaotic foreign exchange market long term policies are often rendered useless. The study empirically establishes this fact by showing that in chaotic foreign exchange market government interventions to contain volatility does not actually work.

Biografía del autor: Mr.Chitrakalpa Sen is an Economist by training. Mr. Sen completed his Bachelors and Masters degree from the University of Calcutta. This work is his doctoral dissertation. Mr Sen's areas of research interest are financial economics, econometrics, time series analysis and nonlinear dynamics in financial market.

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Chitrakalpa Sen
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Descripción LAP Lambert Academic Publishing, 2012. PAP. Estado de conservación: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería LQ-9783847346517

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Sen, Chitrakalpa
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Descripción LAP Lambert Academic Publishing, 2012. Estado de conservación: New. This item is printed on demand for shipment within 3 working days. Nº de ref. de la librería KP9783847346517

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Descripción LAP Lambert Academic Publishing, Germany, 2012. Paperback. Estado de conservación: New. Aufl.. 220 x 150 mm. Language: English . Brand New Book ***** Print on Demand *****.A volatile foreign exchange market takes a toll on the economy s international competitiveness. Excess forex volatility affects the stock markets and international trade as well. The negative impact may even spread to other countries in form of volatility spillover. This study aims to analyze the volatility dynamics in context of Indian Rupee vis-a-vis some selected foreign currencies. In that process, it uses ARCH models, long memory and structural breaks to examine the nature of volatility. The study then investigates any possible volatility spillover from stock markets to understand the possible source of exchange rate volatility. However, the stock markets fail to explain the exchange rate volatility completely. To understand the underlying volatility dynamics, the possible non-linear nature of the exchange rates is examined. All exchange rates turn out to be chaotic in nature. It has some serious policy implications as in a chaotic foreign exchange market long term policies are often rendered useless. The study empirically establishes this fact by showing that in chaotic foreign exchange market government interventions to contain volatility does not actually work. Nº de ref. de la librería AAV9783847346517

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Descripción LAP Lambert Academic Publishing. Paperback. Estado de conservación: New. Paperback. 184 pages. Dimensions: 8.7in. x 5.9in. x 0.4in.A volatile foreign exchange market takes a toll on the economys international competitiveness. Excess forex volatility affects the stock markets and international trade as well. The negative impact may even spread to other countries in form of volatility spillover. This study aims to analyze the volatility dynamics in context of Indian Rupee vis-a-vis some selected foreign currencies. In that process, it uses ARCH models, long memory and structural breaks to examine the nature of volatility. The study then investigates any possible volatility spillover from stock markets to understand the possible source of exchange rate volatility. However, the stock markets fail to explain the exchange rate volatility completely. To understand the underlying volatility dynamics, the possible non-linear nature of the exchange rates is examined. All exchange rates turn out to be chaotic in nature. It has some serious policy implications as in a chaotic foreign exchange market long term policies are often rendered useless. The study empirically establishes this fact by showing that in chaotic foreign exchange market government interventions to contain volatility does not actually work. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Nº de ref. de la librería 9783847346517

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