ANALYSIS OF MACROECONOMIC DETERMINANTS OFEXCHANGE RATE VOLATILITYININDIA
DOI:
https://doi.org/10.53555/eijbms.v2i4.20Keywords:
Volatility, international trade, VECM, Granger causality, IRFAbstract
Exchange rate is known as the one of the crucial element for the development of the economy, it is seen that volatility hassignificant influence on the international trade. In this paper analyzed that impact of inflation rate and money supply onthe volatility of exchange rate of India. We collected the monthly data to estimate the short and long run relationshipbetween these variables. For this purpose, we have applied theJohansen Cointegration, VECM, GCT and IRF for analysisthe response of different shocks on the variables. This paper is showing that high money supply and interest rate increase
the inflation rate, which leads to increase the volatility in exchange rate on India.
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