Time-varying and asymmetric impact of exchange rate on oil prices in India: Evidence from a multiple threshold nonlinear ARDL model

Rubia Jalal and R. Gopinathan

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This study investigates the time-varying and asymmetric impact of exchange rate fluctuations on crude oil from January 2004 to July 2022 by using the multiple threshold nonlinear autoregressive distributed lag model (MTNARDL). Evidence of minor to major fluctuations in exchange rate shows the time-varying and asymmetric impact on oil prices. Similarly, the findings indicate that the sign and magnitude of coefficients change across different quintiles over different sub-sample periods. Moreover, exchange rate fluctuations affect imports, exports, investment, and other economic activity. Thus, worsening the current accounts, and also hindering economic growth in oil-importing countries.

Keywords: Crude oil; Exchange rate; Stock market; Time-varying; MTNARDL (search for similar items in EconPapers)
JEL-codes: C32 D53 E44 G01 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004809

DOI: 10.1016/j.frl.2022.103297

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