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Dynamics of global oil prices, exchange rate and precious metal prices in India

Anshul Jain () and Sajal Ghosh

Resources Policy, 2013, vol. 38, issue 1, 88-93

Abstract: This study examines cointegration and Granger causality among global oil prices, precious metal (Gold, Platinum and Silver) prices and Indian Rupee–US Dollar exchange rate using daily data spanning from 2nd January 2009 to 30th December 2011. ARDL bounds tests indicate that the series are cointegrated. Toda–Yamamoto version of Granger causality has been employed to establish the causation amongst the variables. The study also examines generalized error variance decomposition of variables due to various shocks in the system. Such information provides insight into the transmission links between the global oil market and the Indian precious metals and foreign exchange market. These have the potential for significant impact in further research, portfolio management and central bank policy design.

Keywords: Oil price; Precious metal prices; Exchange rate; ARDL; Toda Yamamoto; Granger causality (search for similar items in EconPapers)
JEL-codes: E32 E40 O13 Q30 Q43 (search for similar items in EconPapers)
Date: 2013
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Handle: RePEc:eee:jrpoli:v:38:y:2013:i:1:p:88-93