Indian Rupee

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B. Saritha - One of the best experts on this subject based on the ideXlab platform.

  • A Study of Exchange Rate between Indian Rupee & Us Dollar
    Sumedha Journal of Management, 2016
    Co-Authors: B. Saritha
    Abstract:

    Impact of broad money supply and foreign exchange reserves is also analyzed. India stands considerably integrated with the rest of the world today in terms of increasing openness of the economy. A monthly time series from June 2007 to may 2012 is used for the purpose. It is observed that the short-term and long-term relationship of NYSE ACRA, forex reserve, imports and exports of India with exchange rates of India. Domestic interest differentials and interest yield differentials, and the rate of change of foreign exchange reserves have a significant impact on the monthly average of the exchange rate between Indian Rupee and the US Dollar and quite in line with economic theory.

  • a study of exchange rate between Indian Rupee us dollar
    Sumedha Journal of Management, 2016
    Co-Authors: B. Saritha
    Abstract:

    Impact of broad money supply and foreign exchange reserves is also analyzed. India stands considerably integrated with the rest of the world today in terms of increasing openness of the economy. A monthly time series from June 2007 to may 2012 is used for the purpose. It is observed that the short-term and long-term relationship of NYSE ACRA, forex reserve, imports and exports of India with exchange rates of India. Domestic interest differentials and interest yield differentials, and the rate of change of foreign exchange reserves have a significant impact on the monthly average of the exchange rate between Indian Rupee and the US Dollar and quite in line with economic theory.

Unyime Patrick Udoudo - One of the best experts on this subject based on the ideXlab platform.

  • Intervention Analysis of Daily Indian Rupee/Nigerian Naira Exchange Rates
    The International Journal of Business and Management, 2018
    Co-Authors: Ette Harrison Etuk, Unyime Patrick Udoudo
    Abstract:

    Time series plot of a realization of daily exchange rates of Indian Rupee and Nigerian Naira from 18th March, 2017 to 10th September, 2017 shows the occurrence of an intervention on 4th August, 2017. This research work has an aim of proposing an intervention model to explain the impact of this intervention believed to be due to the economic recession in Nigeria.  Pre-intervention series is observed to be stationary by the Augmented Dickey Fuller Test. Following the shown autocorrelation structure of the series, an adequate subset ARMA(13, 12) model is fitted to it. On the basis of this model forecasts are made for the post-intervention period.  Difference between these forecasts and their corresponding actual observations are modeled to obtain the intervention transfer function and the desired overall intervention model.  Management of these exchange rates may be made on the basis of this model.

  • intervention analysis of daily Indian Rupee nigerian naira exchange rates
    The International Journal of Business and Management, 2018
    Co-Authors: Ette Harrison Etuk, Unyime Patrick Udoudo
    Abstract:

    Time series plot of a realization of daily exchange rates of Indian Rupee and Nigerian Naira from 18th March, 2017 to 10th September, 2017 shows the occurrence of an intervention on 4th August, 2017. This research work has an aim of proposing an intervention model to explain the impact of this intervention believed to be due to the economic recession in Nigeria.  Pre-intervention series is observed to be stationary by the Augmented Dickey Fuller Test. Following the shown autocorrelation structure of the series, an adequate subset ARMA(13, 12) model is fitted to it. On the basis of this model forecasts are made for the post-intervention period.  Difference between these forecasts and their corresponding actual observations are modeled to obtain the intervention transfer function and the desired overall intervention model.  Management of these exchange rates may be made on the basis of this model.

Ajay Parashar - One of the best experts on this subject based on the ideXlab platform.

  • Indian Rupee/us dollar exchange rate case study on exchange models
    International journal of research in social sciences, 2015
    Co-Authors: Nand Kishor Soni, Ajay Parashar
    Abstract:

    The paper analyzes Exchange rate of Indian Rupee/us dollar which is governed by a managed floating exchange rate. This paper includes the forward premium, capital inflows, and volatility of capital flows, order flows and central bank intervention. The study therefore four examines, first the PPP Model Second monetary model, Third Portfolio balance model, fourth GARCH Model. The following section 1 briefly describes economic theories and section 2 reviews of the relevant literature, Section 3 describes the Theoretical exchange model, and Section 4 gives the empirical results. Section 5 concludes the findings support the view of references.

  • Indian Rupee us dollar exchange rate case study on exchange models
    International journal of research in social sciences, 2015
    Co-Authors: Nand Kishor Soni, Ajay Parashar
    Abstract:

    The paper analyzes Exchange rate of Indian Rupee/us dollar which is governed by a managed floating exchange rate. This paper includes the forward premium, capital inflows, and volatility of capital flows, order flows and central bank intervention. The study therefore four examines, first the PPP Model Second monetary model, Third Portfolio balance model, fourth GARCH Model. The following section 1 briefly describes economic theories and section 2 reviews of the relevant literature, Section 3 describes the Theoretical exchange model, and Section 4 gives the empirical results. Section 5 concludes the findings support the view of references.

Biswajit Patra - One of the best experts on this subject based on the ideXlab platform.

  • Does Bilateral Indian Rupee-US$ Exchange Rate Follow a Random Walk?
    2012
    Co-Authors: Biswajit Patra
    Abstract:

    This paper seeks to examine whether the bilateral Indian Rupee-US$ exchange rate follow a random walk or not. In other words, this study investigates whether the Indian foreign exchange market is informationally efficient or not. For this study daily data on Indian Rupee-US$ exchange rate have been taken for the period of 1 January 2003 to 31 December 2010. A set of random walk unit root and variance ratio tests are employed to examine the Random Walk Hypothesis (RWH). The results, by and large, confirms absence of random walk. The implication of this finding is that India’s foreign exchange market is no longer informationally efficient.

  • does bilateral Indian Rupee us exchange rate follow a random walk
    2012
    Co-Authors: Biswajit Patra
    Abstract:

    This paper seeks to examine whether the bilateral Indian Rupee-US$ exchange rate follow a random walk or not. In other words, this study investigates whether the Indian foreign exchange market is informationally efficient or not. For this study daily data on Indian Rupee-US$ exchange rate have been taken for the period of 1 January 2003 to 31 December 2010. A set of random walk unit root and variance ratio tests are employed to examine the Random Walk Hypothesis (RWH). The results, by and large, confirms absence of random walk. The implication of this finding is that India’s foreign exchange market is no longer informationally efficient.

Bernhard Sick - One of the best experts on this subject based on the ideXlab platform.

  • forecasting exchange rates with ensemble neural networks and ensemble k pls a case study for the us dollar per Indian Rupee
    International Joint Conference on Neural Network, 2012
    Co-Authors: Mark J Embrechts, Christopher J Gatti, Jonathan D Linton, Thiemo Gruber, Bernhard Sick
    Abstract:

    The purpose of this paper is to evaluate and benchmark ensemble methods for time series prediction for daily currency exchange rates using ensemble feedforward neural networks and kernel partial least squares (K-PLS). Best-practice forecasting methods for the US Dollar (USD) per Indian Rupee (IR) are applied for training, validating, and testing the machine learning models. In order to perform the benchmarking evaluation study neural network forecasting methods are first compared on a benchmarked neural network time series prediction method for the Canadian Lynx time series. The K-PLS method is benchmarked in addition with support vector machines (SVM), a similar kernel-based method. Both one-step ahead and a roll-out methods for extended forecast horizons are applied for the currency exchange rates. The paper is novel in the sense that two new ensemble methods are introduced: weight seeding and multiple cross-validation averaging. The paper is also novel in the sense that several new validation indices are proposed that are especially applicable for time series: q2 and Q2 and the fraction of misses in the exchange rate return space, which is a more relevant metric for currency speculation. As a general conclusion it is found that the USD per IR is quite predictable, while other currencies such as the USD per Euro and the Australian Dollar (AUD) per Euro are not predictable.

  • IJCNN - Forecasting exchange rates with ensemble neural networks and ensemble K-PLS: A case study for the US Dollar per Indian Rupee
    The 2012 International Joint Conference on Neural Networks (IJCNN), 2012
    Co-Authors: Mark J Embrechts, Christopher J Gatti, Jonathan D Linton, Thiemo Gruber, Bernhard Sick
    Abstract:

    The purpose of this paper is to evaluate and benchmark ensemble methods for time series prediction for daily currency exchange rates using ensemble feedforward neural networks and kernel partial least squares (K-PLS). Best-practice forecasting methods for the US Dollar (USD) per Indian Rupee (IR) are applied for training, validating, and testing the machine learning models. In order to perform the benchmarking evaluation study neural network forecasting methods are first compared on a benchmarked neural network time series prediction method for the Canadian Lynx time series. The K-PLS method is benchmarked in addition with support vector machines (SVM), a similar kernel-based method. Both one-step ahead and a roll-out methods for extended forecast horizons are applied for the currency exchange rates. The paper is novel in the sense that two new ensemble methods are introduced: weight seeding and multiple cross-validation averaging. The paper is also novel in the sense that several new validation indices are proposed that are especially applicable for time series: q2 and Q2 and the fraction of misses in the exchange rate return space, which is a more relevant metric for currency speculation. As a general conclusion it is found that the USD per IR is quite predictable, while other currencies such as the USD per Euro and the Australian Dollar (AUD) per Euro are not predictable.