Journal
| Title | Commodity Futures Marlet:Ensuring the integrity With Development. | |
| Author's Name | S.jackline R.Gayathridevi Dr.Malabika Deo | |
| ISSN | 0974-7281 | |
| Page(s) | 31-42 | |
| Volume No. | 2 | |
| Issue Month | July 2010 | |
| Keywords | Foreign Direct Investment, Exchcnge Rate, Volatility | |
| Abstract | The present article attempts to identify the causal nexus among real exchange rate (RER), its volatility and foreign direct investment(FDI)infloes in India using quarterly data from 1990:IIto 2008I.Generalized Auto Regressive Conditional Heteroscedasticity(GARCH)model is employed to obtain conditional variance of RERdata series.Besides, Johansen,s cointegration technique followed by the vextor error correction model(VECM)is employed to examine the objective. The analysis reveals a long run relationship among FDI, RER and the GARCH measure of exchange rate volatility to FDI . however, we find no discernible link from FDI to RER and its volatility in the short run . Thus, the atudy concludes that depreciation in exchange rate level leade to increases in exchange rate uncease in due to decreases in exchange rate uncertainty in the short run. |
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