Movements of oil prices and exchange rates in China and India: New evidence from wavelet-based, non-linear, autoregressive distributed lag estimations
Mantu Mahalik () and
Physica A: Statistical Mechanics and its Applications, 2021, vol. 563, issue C
This paper contributes to the existing literature by investigating the impact of oil prices on real exchange rates in China and India. We employ the non-linear, autoregressive-distributed lag model advanced by Shin et al. (2014), which allows both short-run and long-run asymmetry pass-through to a variable of interest. Oil prices and exchange rates are frequently found to be noisy. In order to detect the accurate relationship between oil prices and exchange rates, the maximum overlap, discrete-wavelet transformation is used to remove noise from the original series. The dynamic relationship between the original and de-noised series is compared. Our empirical findings suggest only long-run asymmetric effects of oil prices on exchange rates for both countries; however, after time-series noise removal, the asymmetric long-run effect becomes symmetric for India. Policy implications also are included.
Keywords: Oil price shocks; Asymmetric effects; Exchange rates; India; China; NARDL (search for similar items in EconPapers)
JEL-codes: C13 C22 C51 F31 Q40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
Working Paper: Movements of oil prices and exchange rates in China and India: New evidence from wavelet-based, non-linear, autoregressive distributed lag estimations (2020)
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:phsmap:v:563:y:2021:i:c:s037843712030755x
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().