Economics at your fingertips  

Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India - A Reassessment

Debi Bal () and Badri Narayan Rath ()
Additional contact information
Debi Bal: NIT Sikkim

Economics Bulletin, 2019, vol. 39, issue 1, 592-604

Abstract: De Vita and Trachanas's (hereafter DV-T, 2016) paper published in (Energy Economics, Volume 56, May 2016, pages, 150-160) criticizes Bal and Rath's paper (Energy Economics, Volume 51, September 2015, pages, 149-156) (hereafter, BR, 2015) by undertaking a ‘pure replication' and a ‘reanalysis' using (BR, 2015) data set. The aim of this paper is to reassess (BR, 2015) by providing comments and additional evidence. We revisit (BR, 2015) with the aim of applying additional unit root, cointegration and nonlinear causality tests. The results derived from these supplementary tests clearly reveal that the oil price series is non-stationary at level. The bivariate noisy Mackey-Glass model proposed by Kyrtsou and Terraza (2003) reveals bi-directional non-linear causality exists between real oil price and exchange rate in case of China, whereas for India, only unidirectional nonlinear causality running from oil price to exchange rate.

Keywords: Reanalysis; DNS (ω) method, Nonlinear Granger Causality; Oil Price; Exchange Rate. (search for similar items in EconPapers)
JEL-codes: Q4 F3 (search for similar items in EconPapers)
Date: 2019-03-16
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

Page updated 2019-10-28
Handle: RePEc:ebl:ecbull:eb-18-00220