Page 47 - IILMGSM Journal_Management Perspective
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5 to December 2008 to examine the changes that market the spot exchange rate between Rs. and Dollar
have occurred over the period. The second period (Rs./ $) is considered. Monthly data of various
starts from June 2000 i.e. approximately the time variables in different markets is used for analysis.
when second generation reforms were introduced. Depending on the availability of the data, variables
The third sub period starts from January 2005 and studied vary from one sub period to another. Repo
ends at December 2008 so as to capture the more and Reverse Repo rates are not analyzed as they are
recent situation. administered rates. The details are incorporated in
Table 1.
This study looks at the integration of the different
segments of the markets in terms of convergence of Data has been collected from Handbook of
the prices. In the money market, G sec market and Statistics on Indian Economy 2008 (RBI), RBI
credit market the interest rates are the prices. In the Bulletin, RBI weekly statistical supplement,
capital market NIFTY index values are taken as a Statistical Tables Relating to Banks in India (RBI)
representative price where as in the Foreign exchange and NSE.
Table 1: Details of the Variables Selected for Analysis
Market segment Variable(s) selected Abbreviation used Data period
1994- 2008
Money market Commercial Paper Rate CP 1994- 2008
1994- 2008
Certificate of Deposit Rate CD 1998 – 2008
1994- 2008
Call Money Rate CM 2000 – 2008
2000 – 2008
Mumbai Inter Bank Offer Rate MIBOR 1994- 2008
1994- 2008
Government Securities market Treasury bills 91 days TBILL
Credit market Prime lending rate PLR
Deposit rate DR
Capital market NIFTY NIFTY
Foreign Exchange market Exchange rate (Rs./$) ER
To serve the objectives of the study following Granger causality test to determine the causal
techniques are used: relation among the various segments
Correlation among variables representing the Johansen co integration test to check whether a
financial market segments long run equilibrium relationship exists between
the financial market segments considered.
(46)
have occurred over the period. The second period (Rs./ $) is considered. Monthly data of various
starts from June 2000 i.e. approximately the time variables in different markets is used for analysis.
when second generation reforms were introduced. Depending on the availability of the data, variables
The third sub period starts from January 2005 and studied vary from one sub period to another. Repo
ends at December 2008 so as to capture the more and Reverse Repo rates are not analyzed as they are
recent situation. administered rates. The details are incorporated in
Table 1.
This study looks at the integration of the different
segments of the markets in terms of convergence of Data has been collected from Handbook of
the prices. In the money market, G sec market and Statistics on Indian Economy 2008 (RBI), RBI
credit market the interest rates are the prices. In the Bulletin, RBI weekly statistical supplement,
capital market NIFTY index values are taken as a Statistical Tables Relating to Banks in India (RBI)
representative price where as in the Foreign exchange and NSE.
Table 1: Details of the Variables Selected for Analysis
Market segment Variable(s) selected Abbreviation used Data period
1994- 2008
Money market Commercial Paper Rate CP 1994- 2008
1994- 2008
Certificate of Deposit Rate CD 1998 – 2008
1994- 2008
Call Money Rate CM 2000 – 2008
2000 – 2008
Mumbai Inter Bank Offer Rate MIBOR 1994- 2008
1994- 2008
Government Securities market Treasury bills 91 days TBILL
Credit market Prime lending rate PLR
Deposit rate DR
Capital market NIFTY NIFTY
Foreign Exchange market Exchange rate (Rs./$) ER
To serve the objectives of the study following Granger causality test to determine the causal
techniques are used: relation among the various segments
Correlation among variables representing the Johansen co integration test to check whether a
financial market segments long run equilibrium relationship exists between
the financial market segments considered.
(46)
