Determinants of Exchange rate
1
Table of Contents
1
Introduction – Determinants of Exchange rate ................................................................................. 3
2
Research papers .............................................................................................................................. 4
2.1
Paper -1: Determinants of Exchange Rate Movements ............................................................. 4
2.2
Paper -2: Macroeconomic Determinants of Real Exchange Rates ............................................. 6
3
Correlation between the changes of the Rupee with respect to the three currencies ....................... 7
4
Multiple Regression Analysis ............................................................................................................ 9
4.1
4.2
Multiple Regression Analysis INR/GBP .................................................................................... 11
4.3
5
Multiple Regression Analysis INR/USD ...................................................................................... 9
Multiple Regression Analysis INR/Euro ................................................................................... 13
Conclusion ..................................................................................................................................... 14
5.1
Regression Estimate for INR/USD ........................................................................................... 14
5.2
Regression Estimate for INR/GBP ........................................................................................... 14
5.3
Regression Estimate for INR/Euro .......................................................................................... 15
6
References..................................................................................................................................... 16
7
Annexure
Table of Contents
1
Introduction – Determinants of Exchange rate ................................................................................. 3
2
Research papers .............................................................................................................................. 4
2.1
Paper -1: Determinants of Exchange Rate Movements ............................................................. 4
2.2
Paper -2: Macroeconomic Determinants of Real Exchange Rates ............................................. 6
3
Correlation between the changes of the Rupee with respect to the three currencies ....................... 7
4
Multiple Regression Analysis ............................................................................................................ 9
4.1
4.2
Multiple Regression Analysis INR/GBP .................................................................................... 11
4.3
5
Multiple Regression Analysis INR/USD ...................................................................................... 9
Multiple Regression Analysis INR/Euro ................................................................................... 13
Conclusion ..................................................................................................................................... 14
5.1
Regression Estimate for INR/USD ........................................................................................... 14
5.2
Regression Estimate for INR/GBP ........................................................................................... 14
5.3
Regression Estimate for INR/Euro .......................................................................................... 15
6
References..................................................................................................................................... 16
7
Annexure
References: Arnold C. Harberger. 2003, Economic Growth and the real Exchange rate: Revisiting the BalassaSamuelson Effect. http://www.econ.ucla.edu/harberger/ah-ecgrowth.pdf (Accessed: 20.12.212) Hacche, G (Accessed 15.12.2012) Wm