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CDE
February 2011
MODELLING AND FORECASTING THE INDIAN
RE/US DOLLAR EXCHANGE RATE
Pami Dua
Email: dua@
Delhi School of Economics
University of Delhi
Rajiv Ranjan
Reserve Bank of India
Mumbai
Working Paper No. 197
Centre for Development Economics
Department of Economics, Delhi School of Economics
Modelling and Forecasting the Indian Re/US Dollar Exchange Rate
Pami Dua 1
Department of Economics, Delhi School of Economics
University of Delhi, Delhi, India
and
Rajiv Ranjan
Reserve Bank of India, Mumbai, India
Abstract
This paper develops vector autoregressive and Bayesian vector autoregressive models to
forecast the Indian Re/US dollar exchange rate which is governed by a managed floating
exchange rate regime. It considers extensions of the monetary model that include the
forward premium, capital inflows, volatility of capital flows, order flows and central bank
intervention. The study finds that the monetary model generally outperforms the naïve
model. It also finds that forecast accuracy can be improved by extending the monetary
model to include forward premium, volatility of capital inflows and order flow.
Information on
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