Answers are grounded in this paper and cite their sources.
This study investigates the impact of foreign institutional investment fluctuations on USD/INR volatility, considering volatility persistence, structural disruptions, global risk factors, and post-2019 regulatory and market-structure changes. The study uses EGARCH models with Narayan–Popp break controls, utilising 2,608 daily observations from 2015 to 2024. The findings indicate that the volatility of USD/INR exhibits significant persistence, with an implied half-life of around 60 trading days. Aggregate lagged FII shocks are not statistically significant in the baseline model; decomposed effects vary across specifications and break regimes. Moderation following 2019 seems restricted on a daily basis. The results suggest that the relationship is persistent, regime-dependent, and sensitive to breaks.
No takes yet. Share an insight, caveat, or question.
Ashok Kumar Panigrahi (2026) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: