연구정보
[경제] Does offshore NDF market influence onshore forex market? Evidence from India
인도 국외연구자료 연구보고서 - Wiley Online 발간일 : 2022-04-05 등록일 : 2022-06-17 원문링크
The paper uses a vector error correction model–multivariate generalized autoregressive conditional heteroskedasticity approach to examine the interrelationship between onshore and offshore nondeliverable forward (NDF) markets for the Indian Rupee. The empirical results suggest a stable and bidirectional long-run relationship between onshore and offshore markets. The subperiod analysis implies that there are unidirectional mean spillovers from NDF markets to onshore spot, forward, and futures markets during the post-taper tantrum period. Regarding “volatility spillover,” the analysis indicates a unidirectional volatility spillover from spot and forward segments to NDF market in normal circumstances, which turns bidirectional during times of depreciation pressure on the rupee.
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