A Dynamic Relationship Between Us Dollar Exchange Rate and Indian Crude Oil Prices

Released on by Dr. Arpit Sidhu
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  • A Dynamic Relationship Between Us Dollar Exchange Rate and Indian Crude Oil Prices Book Detail

  • Author : Dr. Arpit Sidhu
  • Release Date : 2020
  • Publisher :
  • Genre :
  • Pages : 8
  • ISBN 13 :
  • File Size : 33,33 MB
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A Dynamic Relationship Between Us Dollar Exchange Rate and Indian Crude Oil Prices by Dr. Arpit Sidhu PDF Summary

Book Description: Present paper investigates the relationship among oil prices and exchange rates in Indian market. Present paper uses two econometrics tools of dependence to establish co-movement amongst the variables viz. Johansen co-integration and Granger Causality tests to demonstrate that the foreign exchange value of the US dollar (Crude oil prices) has a substantial impact on the prices of crude oil (Exchange rate of US dollar) in long-term as well as short-term or not. The results evidenced that data is stationary at first difference order. However, Johansen co-integration suggests no co-integrating equation. It signifies the possibilities to take advantage from arbitrage activities in the long-run through diversification of the investment portfolios in these two non-integrated markets. Granger causality and Wald statistics evidences unidirectional causality flowing from exchange rate to oil prices but not vice-versa. Since exchange rate granger causes the oil prices, the participants in the foreign exchange market can use information of exchange rates to improve the forecast of crude oil prices. The results of present study have policy implications for oil importing countries to frame foreign exchange risk management, fiscal and monetary policies in such a way to control exchange rate induced pressures on crude oil prices as crude oil prices predominantly affect the emerging oil dependent industrialized economies like India.

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Dynamic Linkages and Volatility Spillover

Dynamic Linkages and Volatility Spillover

File Size : 55,55 MB
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This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortun