Journal ArticleDOI
Effect of Central Bank Intervention in Estimating Exchange Rate Exposure: Evidence from an Emerging Market:
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In this paper, the authors examined the relationship between the value of the firm and unanticipated changes in exchange rate and found that the intervention by central bank has a major impact on the level of Indian firms' exchange rate exposure.Abstract:
This study examines the relationship between the value of the firm and unanticipated changes in exchange rate. Using a sample of 651 Indian firms over the period from 2001 to 2013, this study finds that unanticipated changes in exchange rates are more appropriate than actual changes to discover statistically significant and economically important exchange rate exposure. Using a vector error correction model (VECM) to generate unanticipated exchange rate changes, this study provides new evidence that the intervention by central bank has a major impact on the level of Indian firms’ exchange rate exposure.read more
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Journal ArticleDOI
Exchange rate exposure, hedging, and the use of foreign currency derivatives
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Jia He,Lilian K. Ng +1 more
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Posted Content
Does foreign-exchange intervention matter? The portfolio effect
TL;DR: Dominguez and Frankel as discussed by the authors studied the effect of intervention by central banks in the foreign exchange market and found that the effects were small and transitory at most, and the theoretical case against the effectiveness of intervention is not as clear as a reading of the economics literature might suggest.