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)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:179:y:2016:i:c:p:272-283
Ordering information: This journal article can be ordered from
http://www.elsevier. ... 405891/bibliographic
Access Statistics for this article
Applied Energy is currently edited by J. Yan
More articles in Applied Energy from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().