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This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending rates not just on Indian government bonds but also INR-denominated private-market financial instruments, such as swaps and swaptions. [ABSTRACT FROM AUTHOR]

This study aims to investigate the effect of Covid 19, Rupiah Exchange Rate, and SBI Interest Rate on Indonesia Stock Exchange (IDX). The data analysis was performed using multiple linear regression. Data collection techniques are carried out by processing data that has been published by Bank Indonesia. The results showed that Covid 19 and SBI Interest Rate did not influence IDX. Meanwhile, Rupiah Exchange Rate positively affected on IDX. This study contributes to understanding the macroeconomic factors that affect on IDX in developing countries such as Indonesia during the financial crisis period caused by the Covid 19 pandemics. Thus, this study as a reference for the Indonesia Government in making policies concerning to IDX problem. This study only revealed three variables as determinants of IDX. The next studies should consider more variables such as inflation, gross domestic product, and the amount of money in circulation. Secondly, the future studies should consider other methods of OLS difference one model can be used to predict well the IDX. [ABSTRACT FROM AUTHOR]

Following the pioneering work of Irving Fisher, this article assesses the uncovered interest-parity (UIP) condition by comparing Indian interest and exchange rates during the 1869 to 1906 period. The Indian case provides a good example of the UIP condition, since Indian rupee and sterling bonds were simultaneously traded in the London financial market and subject to negligible default risks. Large deviations from the UIP condition arose when India suffered from pervasive levels of uncertainty about the future of its silver-based currency system. Otherwise, a relatively close correlation arises between sterling-to-rupee interest-rate differences and exchange-rate changes. [ABSTRACT FROM AUTHOR]

The global financial crisis and its aftermath triggered extraordinary policy responses in advanced countries. Their impacts—from asset price bubbles to currency depreciations—have often been felt in the developing world, and the same can be expected from their undoing. India's experience around the Fed's 'taper talk' announcement of 2013 offers insights which could be relevant for other countries as quantitative easing programmes wind down and monetary policy is 'normalized'. This paper estimates the contribution of external and domestic factors to long‐run trends and short‐term fluctuations in the value of the Indian rupee around the 2013 depreciation episode using a rich dynamic model that controls for a large number of exchange‐rate determinants. The paper finds that a global surprise factor, more than domestic vulnerabilities, was the main driver of the large rupee depreciation in the summer of 2013. [ABSTRACT FROM AUTHOR]

The Reserve Bank of India (RBI) used exceptional monetary measures to address the taper tantrum-induced exchange market pressure on the rupee in the third quarter of 2013. This paper provides theoretical and empirical justifications for using the monetary policy to defend the exchange rate under exceptional circumstances, and also outlines certain preconditions which may determine the success of such a policy response. The empirical hypothesis on the effectiveness of an interest rate defence has been examined using four alternative approaches: first, the conventional monetary approach to exchange rate; second, uncovered interest rate parity (UIP) condition in the presence of timevarying risk premium; third, impact assessment in a vector auto regression (VAR) framework; and fourth, a comparative quantitative assessment of the costs associated with depreciation of the rupee relative to a higher interest rate for the Indian corporate sector in a panel regression framework. The scope for different policy inferences that could be derived from the results of alternative approaches highlight the need for a careful assessment of preconditions while designing and applying monetary measures to stabilise the exchange rate. [ABSTRACT FROM AUTHOR]

Predicting currency movements is perhaps one of the hardest exercises in economics as it has many variables affecting its market movement. This study concerns with some of the usual macroeconomic variables which, in theory, are expected to affect the exchange rate between two countries. Indian Rupee is currently losing its value to the Dollar which could certainly be seen to affect the Indian economy adversely. This paper attempts to investigate the interactions between the foreign exchange and stock market in India as well as determine some of the economic factors which could have influenced the Indian rupee vis-à-vis the US Dollar over the period 1990-2011. This paper studies the effect of exchange rate on three market indices; BSE Sensex index, BSE IT sector index and BSE Oil & Gas sector index for the period January 2006 to March 2012. No significant interactions were found between foreign exchange rate [USD/INR] and stock returns. Economic variables like inflation differential, lending interest rates and current account deficit (as a percentage of GDP) are found to significantly affect the exchange rate [USD/INR]. This study also analyzes how the real GDP of India is currently behaving with respect to the exchange rate. It is found that they share a negative relationship which is highly statistically significant. [ABSTRACT FROM AUTHOR]

A few policy recommendations become apparent to avoid depreciation relative to other regional currencies when examining intra-Asian exchange rates during the most recent credit crisis. One, avoid large fiscal deficits. Two, avoid high inflation and current account deficits in order to maintain low interest rates to avoid depreciation from the unwinding of the carry trade. Third, build large official reserves or, more importantly, build large reserves of foreign currency assets. Additional results show an unexplained depreciation of the Australian dollar and the Indian rupee and appreciation of the Thai baht as the TED spread widened and credit crisis worsened. [ABSTRACT FROM AUTHOR]