Topic: International financial markets

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

   Working Paper 2011-29 - Michael Hutchison, Gurnain 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.

   Topic: Econometric and statistical methods; International financial markets; International topics

2. A Practical Guide to Swap Curve Construction

   Working Paper 2000-17 - Uri Ron

   The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.

   Topic: Asset Pricing; International financial markets

3. Volatility Transmission Between Foreign Exchange and Money Markets

   Working Paper 2000-16 - Shafiq K. Ebrahim

   This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.

   Topic: International financial markets