What Drives Forward Premia in Indian Forex Market?
Published By: RBI on eSS | Published Date: January, 10 , 2007This paper explores the behaviour of the forward premia for US$ vis-à-vis INR
during the five-year period of September 2000 to September 2005. Indian forex market
experienced a peculiar phenomenon in the years 2003 and 2004 where the forward premia on US$ spot (cash) vis-à-vis Indian rupee became negative. This phenomenon was somewhat uncommon to Indian forex market wherein Indian rupee was always at discount to US$ in the past. The paper tests hypothesis of uncovered interest rate parity in the context of Indian market. [RBI Occasional Papers, 2006]
Author(s): Anil Kumar Sharma, Anujit Mitra | Posted on: Jan 10, 2007 | Views(2878) | Download (1471)