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...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/64433/1/E13C13_KLIBEL6_Econ_36_h0FV795Ow9.pdf |
| _version_ | 1796977897584459776 |
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| author | Ali, Hamisu Sadi Law, Siong Hook |
| author_facet | Ali, Hamisu Sadi Law, Siong Hook |
| author_sort | Ali, Hamisu Sadi |
| collection | UPM |
| 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. |
| first_indexed | 2024-03-06T09:46:47Z |
| format | Conference or Workshop Item |
| id | upm.eprints-64433 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:46:47Z |
| publishDate | 2015 |
| record_format | dspace |
| spelling | 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). |
| spellingShingle | Ali, Hamisu Sadi Law, Siong Hook Asymmetric co-integration analysis of exchange rates and crude oil prices: evidence from India |
| title | 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_short | 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 |
| url | http://psasir.upm.edu.my/id/eprint/64433/1/E13C13_KLIBEL6_Econ_36_h0FV795Ow9.pdf |
| work_keys_str_mv | AT alihamisusadi asymmetriccointegrationanalysisofexchangeratesandcrudeoilpricesevidencefromindia AT lawsionghook asymmetriccointegrationanalysisofexchangeratesandcrudeoilpricesevidencefromindia |