Gurnain Pasricha is a Principal Researcher in Financial Stability Department. She joined the Bank in 2009 as a Senior Analyst in the International Economic Analysis Department and moved to Financial Stability Department in September 2012. She is also a research associate of the Santa Cruz Institute for International Economics and holdsa PhD in International Economics from University of California, Santa Cruz.
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.
: Econometric and statistical methods; International financial markets; International topicsIn 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.
: Balance of payments and components; Financial markets; International topicsThis paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.
: Econometric and statistical methods; Financial markets; International topics
