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Cointegration analysis of selected currency pairs traded in Indian foreign exchange market

The main purpose of this research paper is to explore and understand the nature of association and the possible existence of a short run and long run relationship between US Dollar, EURO, British Pound and Japanese Yen. | Cointegration analysis of selected currency pairs traded in Indian foreign exchange market International Journal of Management IJM Volume 11 Issue 5 May 2020 pp. 476-485 Article ID IJM_11_05_045 Available online at http www.iaeme.com ijm issues.asp JType IJM amp VType 11 amp IType 5 Journal Impact Factor 2020 10.1471 Calculated by GISI www.jifactor.com ISSN Print 0976-6502 and ISSN Online 0976-6510 DOI 10.34218 IJM.11.5.2020.045 IAEME Publication Scopus Indexed COINTEGRATION ANALYSIS OF SELECTED CURRENCY PAIRS TRADED IN INDIAN FOREIGN EXCHANGE MARKET Rajesh Sadhwani Assistant Professor Indukaka Ipcowala Institute of Management CHARUSAT Off. Nadiad-Petlad Highway Changa 388 421 Anand Gujarat India. ABSTRACT The main purpose of this research paper is to explore and understand the nature of association and the possible existence of a short run and long run relationship between US Dollar EURO British Pound and Japanese Yen. To find out the relationship among currencies USD INR EUR INR GBP INR and JPY INR pairs are considered. The main idea is to know how these selected indicators are related to each other. The daily basis 2781 observations for all four variables from year 2007 to 2018 are taken into consideration. Data are collected from website of Reserve Bank of India. The stationarity of time series is checked and differentiated as per requirement. Johansen cointegration test to know the long run relationship between variables is used. The result shows that there is no cointegration equation among the variables. The short run relationship is examined with help of Vector Autoregression VAR model and the short run relationship within different lags of variables has been identified. The correlation among variables has been examined with help of correlation matrix and Granger cause test is also used to understand the causal effect. Key words Cointegration Vector Autoregression Correlation Currencies Cite this Article Rajesh Sadhwani Cointegration Analysis of Selected