Spread, volatility and monetary policy: empirical evidence from the Indian overnight money market
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References listed on IDEAS
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- Goyal, Ashima & Arora, Sanchit, 2012.
"The Indian exchange rate and Central Bank action: An EGARCH analysis,"
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- Ashima Goyal & Sanchit Arora, 2010. "The Indian Exchange Rate and Central Bank Action : A GARCH Analysis," Macroeconomics Working Papers 23016, East Asian Bureau of Economic Research.
- Sunil Kumar & Anand Prakash & Krishna M. Kushawaha, 2017. "What Explains Call Money Rate Spread in India?," Working Papers id:11975, eSocialSciences.
- Ghosh, Saurabh, 2012. "Volatility spillover in the foreign exchange market: The Indian experience," Kiel Advanced Studies Working Papers 460, Kiel Institute for the World Economy (IfW).
More about this item
KeywordsGARCH; market microstructure bid-ask spread; monetary policy;
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