Time-frequency relationship between energy imports, energy prices, exchange rate, and policy uncertainties in India: Evidence from wavelet quantile correlation approach

Rubia Jalal and R. Gopinathan

Finance Research Letters, 2023, vol. 55, issue PB

Abstract: This study examined the relationship between energy imports, energy prices, exchange rate, and policy uncertainty over different time-frequency and across various quantiles by employing the wavelet quantile correlation. The findings suggest that the relationship changes over different time-frequencies and across various quantiles. Moreover, during the COVID-19 to neo-normal period, exchange rate and geopolitical risk exhibit a relatively stronger relationship than energy prices and economic policy uncertainty at both lower and higher frequencies across quantiles. Further, the findings suggest that to reduce energy imports, policymakers should adopt different strategies for both shorter and longer time-horizons.

Keywords: Energy imports; Exchange rate; Geopolitical risk; Wavelet (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003525

DOI: 10.1016/j.frl.2023.103980

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