Readings and resources

Read first

1. Fabozzi, Bond Markets, Analysis and Strategies, chs. 2 (pricing), 4 (duration and convexity).
2. For currency futures and the Indian rules on them, 11.17 (USDINR futures and options); for interest-rate parity, 11.8.
3. Ray Dalio, How the Economic Machine Works (video, 30 min): https://www.youtube.com/watch?v=PHe0bXAIuk0.
4. RBI, Monetary Policy Statement of 7 Oct 2026 and the Monetary Policy Report: https://www.rbi.org.in (Monetary Policy section).

Then, for depth 5. Taylor, J. B. (1993). "Discretion versus policy rules in practice." Carnegie-Rochester Conference Series on Public Policy 39:195–214. doi:10.1016/0167-2231(93)90009-L. 6. Estrella, A. and Mishkin, F. (1998). "Predicting U.S. Recessions: Financial Variables as Leading Indicators." Review of Economics and Statistics 80(1):45–61. doi:10.1162/003465398557320. 7. Fama, E. (1984). "Forward and spot exchange rates." Journal of Monetary Economics 14(3):319–338. 8. Du, W., Tepper, A. and Verdelhan, A. (2018). "Deviations from Covered Interest Rate Parity." Journal of Finance 73(3):915–957. doi:10.1111/jofi.12620. 9. Brunnermeier, M., Nagel, S. and Pedersen, L. (2008). "Carry Trades and Currency Crashes." NBER Macroeconomics Annual 23:313–348. doi:10.1086/593088. 10. Eichengreen, B. and Gupta, P. (2015). "Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets." Emerging Markets Review 25:1–15. 11. Rogoff, K. (1996). "The Purchasing Power Parity Puzzle." Journal of Economic Literature 34(2):647–668. 12. Neville, H., Draaisma, T., Funnell, B., Harvey, C. R. and Van Hemert, O. (2021). "The Best Strategies for Inflationary Times." SSRN 3813202. 13. Walsh, C., Monetary Theory and Policy, ch. 8 (policy rules and the Taylor principle in New Keynesian models). 14. Hélène Rey (2013), "Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence", Global Dimensions of Unconventional Monetary Policy, Federal Reserve Bank of Kansas City Jackson Hole Economic Policy Symposium, 2013.

Data portals

• FRED (https://fred.stlouisfed.org): DGS10, DGS2, DFII10, T10YIE, T10Y2Y, T10Y3M, DFEDTARU, DEXINUS, DTWEXBGS, TRESEGINM052N, INDIRLTLT01STM.
• NY Fed r* estimates: https://www.newyorkfed.org/research/policy/rstar. ACM term premia: NY Fed research pages.
• RBI DBIE (https://data.rbi.org.in): repo history, WACR, liquidity, reserves, REER/NEER.
• NSDL FPI monitor: https://www.fpi.nsdl.co.in. NSE daily FII/DII provisional data.
• ICE FX Indexes Methodology (DXY): https://www.nyse.com/publicdocs/nyse/indices/ICE_FX_Indexes_Methodology.pdf.
• CCIL (Clearing Corporation of India) for G-sec yields and FBIL for INR reference rates.

Lectures Robert Shiller, Financial Markets (Open Yale ECON 252), lectures on the bond market and central banking: https://oyc.yale.edu/economics/econ-252.