Main Article Content
This study investigates the impact of exchange rate volatility as well as forward market intervention on forward premia in the Indian case. The study finds that the exchange rate volatility positively impacts month-over-month change in forward premia. In fact, inclusion of the exchange rate volatility is found to reduce the out-of-sample forecast error of forward premia. Forward market intervention, however, is not found to have any significant impact on the forward premia.