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Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India


Citation

Ali, Hamisu Sadi and Abdullahi, Yakubu John and Zubairu, Abba Nuhu and Yusuf, Mohammed Alhaji (2016) Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India. International Journal of Economics, Commerce and Management, 4 (1). pp. 207-217. ISSN 2348-0386

Abstract / Synopsis

Using monthly data from January, 1980 to July 2013, the aim of the article is to find out whether there is cointegrating relationship between exchange rates and crude oil prices in India. The result indicates that there exists cointegration between the variables and speed of adjustment shows symmetric based on TAR model, while MTAR model exhibit asymmetric adjustment. The findings indicated that exchange rates have significant influence on crude oil prices in India and the adjustment to equilibrium when variables deviated is non-linear. The implication is that Indian policy makers should focus more on their exchange rates dynamics in line with the persistent rises of crude oil prices that affects other macroeconomic variables specifically exchange rates that have significant influence on international trade considering the relevance of India in the international export market.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Faculty of Educational Studies
Publisher: IJECM
Keywords: Crude oil prices; Exchange rates; Asymmetric; Cointegration; Error correction model; India
Depositing User: Nabilah Mustapa
Date Deposited: 31 Jul 2017 17:16
Last Modified: 31 Jul 2017 17:16
URI: http://psasir.upm.edu.my/id/eprint/56397
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