Granger Causality Tests During COVID-19
(Hourly data 20 Jan 2020 to 30 Apr 2020; NDF quotes time-matched to onshore quotes)
Sources: Bloomberg; IMF staff.Note: Data is hourly with NDF, spot and onshore forward prices time-matched on an hourly basis. ↔ indicates two-way causality, → indicates influence on the NDF market from either spot or onshore forward, ← indicates influence on either spot or onshore forward from NDF, × indicates no relationship. Significance level is 5%. At a 10% significance level there is no significant spillover from NDF to spot for IDR and from spot to NDF for INR. Granger causality tests are based on joint significance of the lagged independent variables in VECM regressions.