Determinants of Exchange rate

Topics: Inflation, Exchange rate, Purchasing power parity Pages: 70 (4280 words) Published: October 30, 2013
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 ....................................................................................................................................... 17 7.1.1

Annexure 1: Historical Exchange Rates chart .................................................................. 17

7.1.2

Annexure 2: Purchasing power Parity ............................................................................. 18

7.1.3

Annexure 3: India Inflation rate ...................................................................................... 18

7.1.4

Annexure 4: India GDP annual growth rate ..................................................................... 19

7.1.5

Annexure 5: India Current account ................................................................................. 20

7.1.6

Annexure 6: Exchange rate determinants ....................................................................... 21

7.1.7

Annexure 7: Change factors for INR/USD ........................................................................ 22

7.1.8

Annexure 8: 1st multiple regression output for INR/USD ................................................. 22

7.1.9

Annexure 9: Final multiple regression output for INR/USD.............................................. 23

7.1.10

Annexure 10: Change factors for INR/GBP ...................................................................... 24

7.1.11

Annexure 11: 1st multiple regression output for INR/GBP ............................................... 24

7.1.12

Annexure 12: Final multiple regression output for INR/GBP ............................................ 25

7.1.13

Annexure 13: Change factors for INR/GBP ...................................................................... 26

7.1.14

Annexure 14: 1st multiple regression output for INR/Euro............................................... 26

2

7.1.15

Annexure 15: Final multiple regression output for INR/GBP ............................................ 27

3

1 Introduction –...

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
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