Causality between Exchange Rate and Foreign Exchange Reserves in the Indian Context

J.V.Ramana Raju; Mayuresh S. Gokhale

Causality between Exchange Rate and Foreign Exchange Reserves in the Indian Context

J.V.Ramana Raju * §

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Mayuresh S. Gokhale

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Jain University Bangalore

Causality between Exchange Rate and Foreign Exchange Reserves in the Indian Context

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Abstract

Using a time series data of the variables between 1980 and 2010 the present study tries to establish a causal relationship between exchange rate and foreign exchange reserves in the Indian context. Emphasis has been laid on understanding the impact of foreign exchange reserves on the exchange rate. India has accumulated unprecedented foreign exchange reserves and synchronously has been experiencing a large depreciation in its Rupee vies avis US dollar. This trend prompted us to undertake this study to establish some association between the two trends. Our analysis uses Unit Root test, Johansson Co-integration test and Vector Auto Regression (VAR) and concludes that there is no long and short term association between exchange rate (EXR) and foreign exchange reserves (FOREX) in the Indian context.

References

5 Cites in Article

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Adam Elhiraika,Leonce Ndikumana Reserves accumulation in African countries: Sorces, Motivations and Effects.
Ke Liu,Erik Strojer Madesen (2007). Chinese Business Climate.
Marc-Andre Gosselin,Nicolas Parent (2005). Empirical analysis of forex reserves in emerging Asia.
Syed Kumail,Abbas Rizvi,Bushra Naqvi,Muhammad Ramzan,Salman Sayyid,Rizavi (2011). Pakistan's accumulation of foreign exchange reserves during 2001-2006: Benign or hostile, Excessive or Moderate. Intent or fluke.
Y Reddy (2009). India and Global financial crisis Managing Money and Finance.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

J.V.Ramana Raju, Mayuresh S. Gokhale. 2013. "Causality between Exchange Rate and Foreign Exchange Reserves in the Indian Context". Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 13 (GJMBR Volume 13 Issue C7).

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GJMBR Volume 13 Issue C7

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

ear Exchange Rate fore foreign exchange reserves money supply vector auto regression (vary) appreciation and depreciation of currency

Classification

GJMBR-C Classification JEL Code: E49

F31

O24

Submission ReceivedDecember 10, 2012
Peer Review Double Blind
Handling Editor
Accepted January 3, 2013
Published January 15, 2013

Version of record

v1.2

Issue date

July 15, 2013

Language

English

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Article Matrices

Total Score: 149

Country: India

Subject: Global Journal of Management and Business Research

Authors: Mayuresh S. Gokhale, J.V.Ramana Raju (PhD/Dr. count: 0)

View Count (all-time): 396

Total Views (Real + Logic): 1952

Total Downloads (simulated): 174

Publish Date: 2013 01, Tue

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Total Views: 2K

Total Downloads: 174

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