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International transmission of monetary policy: the USA to India
[Zeitschriftenartikel]
Abstract The present study attempts measure the transmission of monetary impulse from the USA to India by trying to quantify the extent of volatility spillover from the US monetary policy to the exchange rate and interest rate of India. By applying a t-DCC MGARCH model to daily data on Fed Funds Rate, Rupee ... mehr
The present study attempts measure the transmission of monetary impulse from the USA to India by trying to quantify the extent of volatility spillover from the US monetary policy to the exchange rate and interest rate of India. By applying a t-DCC MGARCH model to daily data on Fed Funds Rate, Rupee Dollar Exchange Rate and the Call Money rate of India it was found that there is considerable volatility spillover from the Fed Rate to the exchange rate. Spillover is also clearly evident in case of the call rate. The extent of spillover is higher for the foreign exchange rate than the call money rate. However, it was also noticed that the spillover is asymmetric in either of the cases and is higher during phases of high volatility. In an era of flexible exchange rates excessive dependence of the Indian Economy on short term capital flows to finance the current account deficits which raises the dollar demand and exposes the Indian economy to the Monetary Policy of the US, needs to be reduced. Reforms in the nature of capital flows is also the need of the hour.... weniger
Thesaurusschlagwörter
USA; Indien; Geldpolitik; Wechselkurs; Korrelation; Geldtheorie
Klassifikation
Wirtschaftspolitik
Freie Schlagwörter
Volatilität
Sprache Dokument
Englisch
Publikationsjahr
2015
Seitenangabe
S. 53-62
Zeitschriftentitel
International Letters of Social and Humanistic Sciences (2015) 54
ISSN
2300-2697
Status
Veröffentlichungsversion; begutachtet (peer reviewed)