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  113k v. 1 Aug 26, 2013, 2:06 AM Sumantra Pal
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  244k v. 1 Jan 8, 2013, 1:59 AM Sumantra Pal
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  130k v. 1 Apr 6, 2015, 6:01 AM Sumantra Pal
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WP1: A day in a speculative currency marketResearch highlights:1. Determines a predictive potential range for rupee-dollar exchange rates2. Analyses formation of market expectations and its uses by market participants3. Empirically establishes a building block for intervention tools4. Outline remainder outputs for completion of a policy paper  833k v. 4 Jul 17, 2012, 4:42 AM Sumantra Pal
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WP2:Another day in currency derivatives marketResearch highlights1. Conceptualization of vega-reciprocal2. Empirical tests of the size and sign of vega-reciprocal3. Intervention mechanisms in currency derivatives market  970k v. 4 Jul 17, 2012, 4:42 AM Sumantra Pal
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WP3: Any day in currency derivatives market Research highlights: 1. Demonstration of option price interventions and simulations 2. Superior cost-effectiveness of options market intervention and leverage 3. Design of intervention trades and outcome  346k v. 2 Jul 18, 2012, 7:26 AM Sumantra Pal
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For continuous differentiable functions, partial derivative of the inverse is inverse of the partial derivative and we can get the vega-reciprocal simply by inverting the vega itself. This confirms that vega-reciprocal is positive, supporting our empirical estimates.  367k v. 1 Aug 27, 2012, 12:16 AM Sumantra Pal
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The Emerging Market Economies are vulnerable to adverse external shocks. Such shocks cause excessive volatility in foreign exchange markets. Faced with high volatility, the central banks in EMEs often end up, in futility, depleting their foreign exchange reserves by selling dollars to restore stability. Few central banks use currency-options based intervention to contain volatility and anchor market expectations. In the Indian context, this paper demonstrates that such options-based intervention policies can be considered to contain excessive volatility and anchoring market expectations. Using the risk-neutral densities extracted from currency options data, it is demonstrated that certain options-trading strategy can be effective in stabilizing markets. Therefore, options-based intervention may be a viable policy alternative, which is more cost-effective than the conventional spot-market intervention. Keyword: Fx interventions; risk-neutral density; currency options.  700k v. 1 Apr 25, 2016, 8:46 PM Sumantra Pal
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  527k v. 1 May 19, 2015, 5:19 AM Sumantra Pal
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This paper examined the risks relating to the choice of official currency of NDB as US dollar in the context of greater internationalization and inclusion of renminbi in SDR basket.  251k v. 1 Apr 25, 2016, 8:38 PM Sumantra Pal
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  656k v. 1 Feb 20, 2015, 12:22 AM Sumantra Pal
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