IMPACT OF THE SELECTED MACRO-ECONOMIC FACTORS ON USDINR TRADE IN NSE FUTURES

C. Vijayakumar, Dr. S. Rajamohan

Abstract


Currency derivative is a contract between the buyer and seller whose value is derived from the underlying asset. The
currency exchange rate is the underlying asset of the futures contract. The exchange rates of the currencies are
affected by the changes in the various economic factors and political reasons. Therefore the changes in these values has been analysed like
that how it can be re􀃸ected in the value of futures trade. Hence the most in􀃸uenciable macro-economic factors of India are identi􀃶ed and
analysed the in􀃸uence level on the currency futures of National Stock Exchange of India Limited (NSE). Time series data analyses such as
Augmented Dickey Fuller (ADF) Test and Phillip Perron (PP) Test are used and found that the data series have stationarity. Johansen Juselius
(JJ) Cointegration test is applied then VECM has been framed to 􀃶nd out the error correction estimation level. It has been found that there is
long run equilibrium and causes have been identi􀃶ed. There is no short run causality between the USDINR futures and the selected macroeconomic
variables.


Keywords


USDINR, Futures, Macro-economic variables, Causality, Currency market, Time series

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References


DevajitMahanta, Indian currency futures: an analytical study of its performance, International journal of marketing, financial services and management research, Vol.1, Issue 11, November 2012, pp.72-77.

Dhren Kumar Pandey, Currency risk management through currency derivatives, Samzodhana,Journal of Management Research, Vol 2. Issue 1, March 2014, pp. 1 -10.

Farhana Akhter and NushratFaruqui, Effects of Macroeconomic Variables on Exchange Rates in Bangladesh , International Journal of Scientific & Engineering Research, Volume 6, Issue 2, February-2015, pp. 1028 to 1034.

Mr. Amit Singhal, Founder and CEO NISM Series I: Currency Derivatives Certification Examination, Wok book, pp.6-116

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