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Non Deliverable Foreign Exchange Forward Market: An Overview

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  • Sangita Misra

Abstract

Recognising the growing activity in the non deliverable forward (NDF) market in the recent years, the paper attempts to present a detailed analysis of the NDF market with special focus on Indian rupee. An attempt is made to study the interlinkages among the spot, forward and NDF markets for Indian rupee. Daily exchange rate data from Reuters database for the period November 2004 to February 2007, Granger causality test and augmented GARCH formulation are used for the study. Evidences are also observed for volatility spillover in the reverse direction, i.e., from NDF to spot market, though the extent is marginal. [RBI Occasional Papers, Winter 2006].

Suggested Citation

  • Sangita Misra, 2007. "Non Deliverable Foreign Exchange Forward Market: An Overview," Working Papers id:1259, eSocialSciences.
    • Handle: RePEc:ess:wpaper:id:1259
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    File URL: http://www.eSocialSciences.com/data/articles/Document12210200790.4667932.pdf
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    References listed on IDEAS

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    1. Park, Jinwoo, 2001. "Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 363-377, August.
    2. Unknown, 2005. "Forward," 2005 Conference: Slovenia in the EU - Challenges for Agriculture, Food Science and Rural Affairs, November 10-11, 2005, Moravske Toplice, Slovenia 183804, Slovenian Association of Agricultural Economists (DAES).
    3. Corrinne Ho & Guonan Ma & Robert N McCauley, 2005. "Trading Asian currencies," BIS Quarterly Review, Bank for International Settlements, March.
    4. Patrick C. Higgins & Owen F. Humpage, 2005. "Nondeliverable forwards: can we tell where the renminbi is headed?," Economic Commentary, Federal Reserve Bank of Cleveland, issue Sep.
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    Cited by:

    1. Harendra Kumar Behera, 2011. "Onshore and offshore market for Indian rupee: recent evidence on volatility and shock spillover," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(1), pages 43-55.
    2. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2021. "Capital account liberalisation in a large emerging economy: An Analysis of onshore-offshore arbitrage," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2021-013, Indira Gandhi Institute of Development Research, Mumbai, India.
    3. Guonan Ma & Robert N. McCauley, 2014. "Financial openness of China and India- Implications for capital account liberalisation," Working Papers 827, Bruegel.
    4. Ma, Guonan & McCauley, Robert N., 2013. "Is China or India more financially open?," Journal of International Money and Finance, Elsevier, vol. 39(C), pages 6-27.

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