Do Spot Rate Volatility and futures market Intervention by the financial organization Impact the For

Abstract This study investigates the impact of rate of exchange volatility still as commodities market intervention on forward premia within the Indian case. The study finds that the rate of exchange volatility absolutely impacts month-over-month change in forward premia. In fact, inclusion of the rate of exchange volatility is found to cut back the out-of-sample forecast error of forward premia. commodities market intervention, however, isn't found to own any vital impact on the forward premia.

Keywords: Foreign exchange market, forward premia, rate differential, rate of exchange volatility, commodities market intervention

For more information