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Analysis of Macroeconomic Determinants of Exchange Rate Volatility in India

Author

Listed:
  • Anita Mirchandani

    (AMITY University, Dubai, United Arab Emirates)

Abstract

The Foreign Exchange Market in India has undergone substantial changes over last decade. It is imperative by the excessive volatility of Indian Rupee causing its depreciation against major dominating currencies in international market. This research has been carried out in order to investigate various macroeconomic variables leading to acute variations in the exchange rate of a currency. An attempt has been made to review the probable reasons for the depreciation of the Rupee and analyse different macroeconomic determinants that have impact on the volatility of exchange rate and their extent of correlation with the same.

Suggested Citation

  • Anita Mirchandani, 2013. "Analysis of Macroeconomic Determinants of Exchange Rate Volatility in India," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 3(1), pages 172-179.
    • Handle: RePEc:eco:journ1:2013-01-17
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    References listed on IDEAS

    as
    1. Richard Meese & Kenneth Rogoff, 1983. "The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 67-112, National Bureau of Economic Research, Inc.
    2. Pami Dua & Partha Sen, 2006. "Capital Flow Volatility And Exchange Rates-- The Case Of India," Working papers 144, Centre for Development Economics, Delhi School of Economics.
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    Cited by:

    1. Chi, Tsung-Li & Liu, Hung-Tsen & Chang, Chia-Chien, 2023. "Hedging performance using google Trends–Evidence from the indian forex options market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 107-123.
    2. Wesseh, Presley K. & Lin, Boqiang, 2018. "Exchange rate fluctuations, oil price shocks and economic growth in a small net-importing economy," Energy, Elsevier, vol. 151(C), pages 402-407.
    3. Soni, Rajat Kumar & Nandan, Tanuj, 2022. "Modeling Covid-19 contagious effect between asset markets and commodity futures in India," Resources Policy, Elsevier, vol. 79(C).
    4. Monika Gupta & Shubhi Bansal, 2020. "Covid-19 Disruption of Middle-Class Monthly Household Income and Budget," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 10(6), pages 10-17.
    5. repec:zib:zbmbmj:v:3:y:2023:i:1:p:12-17 is not listed on IDEAS
    6. Lal, Madan & Kumar, Satish & Pandey, Dharen Kumar & Rai, Varun Kumar & Lim, Weng Marc, 2023. "Exchange rate volatility and international trade," Journal of Business Research, Elsevier, vol. 167(C).
    7. Anum Shafique & Mehmood Ul Hassan & Akmal Shahzad & Qazi Muhammad Ali & Muhammad Saqlain, 2022. "Exchange Rate Volatility And Its Relationship With Macroeconomic Variables In Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(1), pages 121-131, March.
    8. repec:ers:journl:v:xxiv:y:2021:i:special3:p:914-927 is not listed on IDEAS
    9. Jolanta Pasionek, 2021. "Response of the USD/MXN Exchange Rate to Macroeconomic Data," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 914-927.
    10. Abimelech Paye Gbatu & Zhen Wang & Presley K. Wesseh Jr. & Isaac Yak Repha Tutdel, 2017. "Causal Effects and Dynamic Relationship between Exchange Rate Volatility and Economic Development in Liberia," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 7(4), pages 119-131.
    11. Olajide O. Oyadeyi, 2026. "The Macroeconomic Determinants of Exchange Rate Volatility and the Impact of Currency Volatility on the Performance of the Nigerian Economy," Foreign Trade Review, , vol. 61(1), pages 79-108, February.
    12. Mohd. FAYAZ & Kaur Bhatia SANDEEP, 2016. "Trends , Patterns and Determinants of Indian Current Account Deficit," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 16(1).
    13. Muhammad Kamran Khan & Jian-Zhou Teng & Muhammad Imran Khan, 2019. "Cointegration between macroeconomic factors and the exchange rate USD/CNY," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-15, December.
    14. Lawal Wasiu Omotayo & Zainab Abubakar & Zainab Said Suwaid, 2025. "Institutional Environment and the Quest for Stable Exchange Rate in Nigeria," Journal of Economics and Behavioral Studies, AMH International, vol. 17(1), pages 43-54.
    15. Warren Moraghen & Boopen Seetanah & Noor Sookia, 2021. "Impact of exchange rate and exchange rate volatility on foreign direct investment inflow for Mauritius: A dynamic time series approach," African Development Review, African Development Bank, vol. 33(4), pages 581-591, December.
    16. Syed Ali Raza & Sahar Afshan, 2017. "Determinants of Exchange Rate in Pakistan: Revisited with Structural Break Testing," Global Business Review, International Management Institute, vol. 18(4), pages 825-848, August.

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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