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

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 an...

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Main Authors: Ali, Hamisu Sadi, Law, Siong Hook
Format: Conference or Workshop Item
Language:English
Published: 2015
Online Access:http://psasir.upm.edu.my/id/eprint/64433/1/E13C13_KLIBEL6_Econ_36_h0FV795Ow9.pdf
http://psasir.upm.edu.my/id/eprint/64433/
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spelling my.upm.eprints.644332018-07-05T09:31:00Z http://psasir.upm.edu.my/id/eprint/64433/ Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India Ali, Hamisu Sadi Law, Siong Hook 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. 2015 Conference or Workshop Item PeerReviewed text en http://psasir.upm.edu.my/id/eprint/64433/1/E13C13_KLIBEL6_Econ_36_h0FV795Ow9.pdf 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).
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description 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.
format Conference or Workshop Item
author Ali, Hamisu Sadi
Law, Siong Hook
spellingShingle Ali, Hamisu Sadi
Law, Siong Hook
Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India
author_facet Ali, Hamisu Sadi
Law, Siong Hook
author_sort Ali, Hamisu Sadi
title Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India
title_short Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India
title_full Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India
title_fullStr Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India
title_full_unstemmed Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India
title_sort asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from india
publishDate 2015
url http://psasir.upm.edu.my/id/eprint/64433/1/E13C13_KLIBEL6_Econ_36_h0FV795Ow9.pdf
http://psasir.upm.edu.my/id/eprint/64433/
_version_ 1643838021843288064
score 13.211869

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