文章基本信息

标题：What Determines Foreign Exchange Market Intervention in an Emerging Economy? Insights from India
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作者：Abdul Rishad ; Sanjeev Gupta ; Akhil Sharma 等
期刊名称：Academy of Accounting and Financial Studies Journal
印刷版ISSN：1096-3685
出版年度：2022
卷号：26
期号：3
页码：1-15
语种：English
出版社：The DreamCatchers Group, LLC
摘要：During the past 25 years, Reserve Bank of India has often intervened in foreign exchange market. The magnitude and frequency of its interventions have varied widely. This study developed a central bank reaction function that renders it feasible to examine the determinants of spot market interventions. The study employed a bivariate Probit model to examine the intervention policy of the Reserve Bank of India in the INR/U.S. Dollar market during the period from April 1995 to March 2019. The result shows that trend deviation, exchange rate volatility, market liquidity and ‘leaning against the wind’ policy stimulate spot market purchase and sale intervention. Deviation of the trade-weighted REER stimulates spot market purchase, whereas a divergent of export weighted REER triggers sale intervention to maintain the equilibrium level. The study also found that accumulation of foreign exchange reserve is the by-product of intervention, not a policy outcome.
关键词：Central Bank Intervention;Determinants of Intervention;Exchange Rate;Central Bank Reaction Functions;India