Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests
Aviral Tiwari () and
Claudiu Albulescu ()
Applied Energy, 2016, vol. 179, issue C, 272-283
We use a continuous wavelet approach and deploy asymmetric, multi-horizon Granger-causality tests between the return series of the oil price and the India-US exchange rate, over the time-span 1980M1–2016M2. The results highlight important co-movements in the post-reform period, especially for the 2–4-years band. The wavelet Granger-causality tests show that the exchange rate Granger-causes the oil price in the long run, while the opposite applies in the short run. Moreover, we find that the Granger-causal relationship between variables is non-linear, asymmetric and indirect, which will help policymakers and traders to make better strategic and investment decisions.
Keywords: Cyclical and anti-cyclical effects; Wavelet coherence; Oil price-exchange rate; Granger causality; India (search for similar items in EconPapers)
JEL-codes: C40 E32 (search for similar items in EconPapers)
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