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A Cointegration Causality Test Among Call Money Rates, Forward Premia and Repos/Reverse Repos Rates

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  • V J Sebastian
  • Arun Kumar Misra

Abstract

The liquidity adjustment facility has given RBI sufficient freedom to control call money rate and forward premia. Through repos /reverse repos auctions, RBI has been modulating liquidity condition in the economy and thus, influencing the call money and foreign exchange markets. Financial liberalization has made the interaction process among call rate, forward premia and repos/ reverse rates more complex. This article has made an attempt to study the interactive process of adjustment and influence upon each other among these above variables

Suggested Citation

  • V J Sebastian & Arun Kumar Misra, 2003. "A Cointegration Causality Test Among Call Money Rates, Forward Premia and Repos/Reverse Repos Rates," The IUP Journal of Bank Management, IUP Publications, vol. 0(2), pages 63-69, MAY.
    • Handle: RePEc:icf:icfjbm:v:02:y:2003:i:2:p:63-69
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