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Forecasting Exchange Rate Volatility In India Under Univariate And Multivariate Analysis
This paper addresses the issue of variation in the exchange rate of the Indian Rupee (IR) against the US Dollar (USD) under a flexible exchange rate regime using monthly data spanning January 2005 to December 2020. We find that exchange rate volatility is largely affected by its lag value rather than the inflation rate and the interest rate differential. The results of forecast accuracy suggest that the prediction performance of the ARIMA model is better than the VAR model. We also find that apart from other factors, the sharp changes in the exchange rate should be controlled by the economy
because its effect will be reflected in the next period and thus creating a chain event to bring further instability in the exchange rate.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | Jakarta: Bank Indonesia 2023 |
|---|---|
| Edisi | Volume 26, Number 1, 2023 |
| Subjek | Exchange rate India Multivariate Univariate |
| ISBN/ISSN | 2460-9196 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 192 p. |
| Info Detail Spesifik | Bulletin Of Monetary Economics And Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |