Does offshore NDF market influence onshore forex market? Evidence from India
使用VECM-MGARCH模型分析印度卢比在岸与离岸NDF市场的关系，发现两者存在长期双向均衡，且后缩减恐慌时期NDF市场对在岸市场有单向均值溢出，而波动溢出在正常时期从在岸流向离岸，在贬值压力下变为双向。
Abstract The paper uses a vector error correction model–multivariate generalized autoregressive conditional heteroskedasticity approach to examine the interrelationship between onshore and offshore nondeliverable forward (NDF) markets for the Indian Rupee. The empirical results suggest a stable and bidirectional long‐run relationship between onshore and offshore markets. The subperiod analysis implies that there are unidirectional mean spillovers from NDF markets to onshore spot, forward, and futures markets during the post‐taper tantrum period. Regarding “volatility spillover,” the analysis indicates a unidirectional volatility spillover from spot and forward segments to NDF market in normal circumstances, which turns bidirectional during times of depreciation pressure on the rupee.