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This article examines interlinkages between four major exchange rates, namely, USD–INR, EUR–INR, GBP–INR and JPY–INR in terms of returns and volatility spillovers using a vector autoregressive-multivariate GARCH–BEKK framework. In addition, we analyse the impact of RBI intervention on the returns, volatility and covariance of these exchange rates. The study finds significant bidirectional causality-in-mean and causality-in-variance between all four exchange rates. The estimation results suggest that RBI intervention in the form of net purchase of dollars leads to depreciation of INR vis-à-vis USD, EUR, GBP and JPY. Furthermore, we find that RBI intervention not only significantly affects the volatility of INR vis-à-vis USD, EUR and GBP but also explains significant amount of covariance between USD–INR and the other three exchange rates. JEL Classification: C32, G15, E58, F31

The existing empirical studies on the effectiveness of RBI intervention in the exchange rate market are based on single equation/GARCH models. Recognizing the interdependence between exchange rate returns, conditional volatility of exchange rate and RBI intervention, this study uses a simultaneous equations framework to examine the efficacy of intervention by RBI. Additionally, we control for the impact of macro-economic fundamental variables and micro-structure variable in our model. The econometric methodology used in the study includes two steps. In the first step, DF-GLS, Ng-Perron and, Lee and Strazicich unit root tests are used to examine the stationarity of the variables. In the second step, the simultaneous equations model is estimated using the generalized method of moments (GMM)-IV. This study is based on secondary data at monthly frequency, spreading from 1996:08 to 2016:10. The main findings of the study are as follows. The results of unit root tests suggest that all variables included in the analysis are stationary. The system GMM-IV estimates of the model indicate that exchange rate returns are influenced by RBI intervention, output growth differential, money supply growth differential, stock market returns, capital flows, EUR-USD exchange rate returns, change in trade balance differential and order flow. Additionally, the estimates of exchange rate volatility equation suggest that RBI intervention significantly decreases exchange rate volatility. Further, we find that volatility in capital flows has significant and positive impact on exchange rate volatility. The estimates of the central bank intervention equation suggests that exchange rate returns have a significant and negative impact on RBI intervention in foreign exchange rate market. We also find evidence for the presence of asymmetry in RBI intervention. The key implications of the study indicate that RBI intervention is effective in stabilizing the Indian exchange rate market in the face of both domestic and external shocks. Furthermore, exchange rate returns are significantly affected by RBI intervention, macro-economic variables and micro-structure variable. The findings of this study may be useful for formulating India's monetary policy.

Effect of vacancies and dislocations on Hall coefficient (RH) and thermoelectric power (TEP) of copper films has been deduced from annealing behaviour of various transport properties. The large contributions of these defects may be attributed to variations in the density of hole-like states and/or the energy dependence of conductivity (at the Fermi surface), caused by changes in the extent and/or degree of curvature of the necks at Fermi surface.

The thickness dependence at 300 and 80 K of the electrical resistivity and its temperature coefficient, Hall coefficient, mobility, and thermoelectric power of as‐deposited and annealed thin (< 1000 A) evaporated polycrystalline copper films and films deposited at elevated temperatures have been studied. All transport parameters in carefully prepared and well‐characterized films exhibit monotonically increasing size effects with decreasing film thickness. Both annealing and deposition at elevated temperatures cause considerable reduction of the ’’apparent’’ size effects in all the transport parameters of the room‐temperature deposited films. A critical analysis of the observed size effects shows that the data in all cases depart markedly from the predictions of the Fuchs‐Sondheimer theory (and also that of the Mayadas‐Shatzkes theory which takes into account the grain boundary surface scattering). The departure from theory is different for each transport parameter. The annealing studies show that the enhanced size effects are due to the presence of a large concentration of structural defects in the films. The observed behavior may be understood by assuming the large concentration of point and/or line defects to decrease with film thickness and with annealing as well as deposition of films at elevated temperatures. The thermopower data suggest strongly that the large concentration of defects causes distortion of the Fermi surface and thereby a strong energy dependence of the mfp or relaxation time at the Fermi surface.

Kinetics of annealing of the electrical resistivity (ρ), Hall coefficient RH, mobility μ, and thermoelectric power TEP of thin (160–5000 A) copper films deposited at temperatures ranging from 80 to 600 K have been studied. The activation energy for the associated recovery process has been obtained from the observed isothermal and isochronal changes in the resistance of the films. This energy increases from a value of 0.7 eV at 2000 A to 1.4 eV at 180 A for room‐temperature‐deposited Cu films. Changes in ρ, RH, and μ on annealing are found to decrease with film thickness and deposition and annealing temperatures. On the other hand, changes in TEP due to annealing increase with film thickness up to 3000 A; the rate of change depends sensitively on deposition temperature. With decreasing temperature of deposition, the reduction in TEP occurs at successively higher annealing temperature. Annealing does not affect the temperature dependence of RH and TEP. These results, together with the information on the mic...

Thermoelectric power and electrical resistivity of thin (