2 Works

Determinants of Financial Stress and Recovery during the Great Recession

Joshua Aizenman & Gurnain Kaur Pasricha
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price indices was comparable to that in high income countries, indicating that there was no decoupling, even before Lehman Brothers’ demise. Deleveraging of OECD positions seemed to...

Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market

Michael Hutchison, Gurnain Kaur Pasricha & Nirvikar Singh
This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology. We begin with a detailed narrative on the evolution of capital controls in India and calculate deviations from covered interest parity utilizing data from the 3-month offshore non-deliverable rupee forward market. We estimate a no-arbitrage band using SETAR where boundaries are determined by transactions...

Registration Year

  • 2021
    2

Resource Types

  • Text
    2

Affiliations

  • University of California, Santa Cruz
    2
  • Bank of Canada
    2