IMPACT OF THE SELECTED MACRO-ECONOMIC FACTORS ON USDINR TRADE IN NSE FUTURES
Journal Title: GJRA-Global Journal For Research Analysis - Year 2018, Vol 7, Issue 10
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 reected in the value of futures trade. Hence the most inuenciable macro-economic factors of India are identied and analysed the inuence 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 identied. There is no short run causality between the USDINR futures and the selected macroeconomic variables.
Authors and Affiliations
C. Vijayakumar, Dr. S. Rajamohan
Keywords
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