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


Citation

Ali, Hamisu Sadi and Law, Siong Hook (2015) Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India. In: Kuala Lumpur International Business, Economics and Law Conference 6, 18-19 Apr. 2015, Hotel Putra, Kuala Lumpur, Malaysia. (pp. 124-128).

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 the two macroeconomic variables of 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 but 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.


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Additional Metadata

Item Type: Conference or Workshop Item (Paper)
Divisions: Faculty of Economics and Management
Keywords: Crude oil prices; Exchange rates; Asymmetric; Cointegration; Error correction model
Depositing User: Nabilah Mustapa
Date Deposited: 05 Jul 2018 17:31
Last Modified: 05 Jul 2018 17:31
URI: http://psasir.upm.edu.my/id/eprint/64433
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