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首页> 外文期刊>The Singapore economic review >CENTRAL BANK INTERVENTION AND EXCHANGE RATE BEHAVIOR: EMPIRICAL EVIDENCE FOR INDIA
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CENTRAL BANK INTERVENTION AND EXCHANGE RATE BEHAVIOR: EMPIRICAL EVIDENCE FOR INDIA

机译：中央银行干预和汇率行为：印度的经验证据

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摘要

This paper examines the causal relationship between central bank intervention and exchange rate returns in India. Using monthly data from December 1997 to December 2011, the empirical results derived from the CCF approach of Cheung and Ng [Journal of Econometrics 72 (1996) 33-48] suggest that there is causality-in-variance from exchange rate returns to central bank intervention, but not vice versa. These findings are robust in the sense that they hold in cases where the returns were measured from either the spot rate or the forward rate. Therefore, we conclude that the Indian central bank has intervened in the foreign exchange market to respond to exchange rate volatility, although the volatility has not been influenced by central bank intervention in the form of net purchases of foreign currency in the market.
机译：本文研究了印度央行干预与汇率回报之间的因果关系。使用1997年12月至2011年12月的月度数据，从Cheung和Ng的CCF方法得出的经验结果[计量经济学72（1996）33-48]表明，汇率回报至中央银行存在因果关系干预，反之亦然。从以即期汇率或远期汇率衡量回报率的情况下，这些发现在一定意义上是稳健的。因此，我们得出的结论是，尽管中央银行并未以市场上净购买外汇的形式干预中央银行的汇率波动，但印度中央银行已干预外汇市场以应对汇率波动。

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