The Indian exchange rate and Central Bank action: An EGARCH analysis

► Evaluation of monetary policy measures on exchange rate level and volatility. ► Controls and policy dummies in an EGARCH model estimated with Indian data. ► US dollar movements strongly affect the Indian rupee (INR); the interest rate differential increases variance and depreciates the INR; News decreases volatility. ► Domestic policy variables affect both level and volatility, and persist at the monthly frequency, but sometimes work at cross-purposes. ► Communication channels have potential but are not being used effectively.