The Relationship between the Black Market and Official Exchange Rates: An Examination of Long-Run Dynamics in India
The Relationship between the Black Market and Official Exchange Rates: An Examination of Long-Run Dynamics in India
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黑市与官方汇率之间的关系：印度长期动态的考察
DOI：
10.1111/j.1467-9485.2007.00415.x
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
R. Chandra
中科院分区：
文献类型：
--
作者：
J. Love;R. Chandra
这项研究是第一次使用约翰森的协整方法为印度在1953年至1993年期间的黑色和官方汇率之间的长期动态分析。该研究还估计了官方汇率相对于黑市汇率的长期弹性。由于使用了40年的月度数据，并采用了更可靠的方法，因此与早期关于印度的工作相比，结果可能更可靠。我们的研究结果表明，虽然两种汇率之间存在长期关系，但因果关系的方向是从黑色汇率到官方汇率。这在印度的情况下是合理的，因为政策通常落后于黑市事件。黑市溢价恒定的假设被拒绝，这意味着官方汇率的百分比变化与黑市汇率的百分比变化之间存在不匹配。
This study is the first to use Johansen's cointegration approach for India in the analysis of the long-term dynamics between the black and official exchange rates for the period 1953-1993. The study also estimates the long-run elasticity of the official rate with respect to the black market rate. As monthly data over 40 years are used, and a more robust methodology is employed, the results are likely to be more reliable as compared with the earlier work on India. The results of our study suggest that while there is a long-term relationship between the two rates, the direction of causality is from the black rate to the official exchange rate. This is plausible in the Indian context where policy has generally lagged behind events in the black market. The hypothesis of a constant black market premium is rejected, implying that there is a mismatch between the percentage change in the official exchange rate and the percentage change in the black market rate.