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

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  • Jalal, Rubia
  • Gopinathan, R.

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.

Suggested Citation

  • Jalal, Rubia & Gopinathan, R., 2022. "Time-varying and asymmetric impact of exchange rate on oil prices in India: Evidence from a multiple threshold nonlinear ARDL model," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004809
    DOI: 10.1016/j.frl.2022.103297
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    Cited by:

    1. LIU Nan & SATO Kiyotaka, 2024. "Asymmetric Exchange Rate Pass-through between Unexpected Yen Appreciation and Depreciation: The case for Japanese machinery exports," Discussion papers 24008, Research Institute of Economy, Trade and Industry (RIETI).
    2. Jalal, Rubia & Gopinathan, R., 2023. "Time-frequency relationship between energy imports, energy prices, exchange rate, and policy uncertainties in India: Evidence from wavelet quantile correlation approach," Finance Research Letters, Elsevier, vol. 55(PB).
    3. Ayad, Hicham & Abbas, Shujaat & Nakhli, Mohamed Sahbi & Jibir, Adamu & Shahzad, Umer, 2023. "Industrial growth, health care policy uncertainty and carbon emissions: Do trade and tax policy uncertainties matter for sustainable development in the USA?," Structural Change and Economic Dynamics, Elsevier, vol. 66(C), pages 151-160.

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    More about this item

    Keywords

    Crude oil; Exchange rate; Stock market; Time-varying; MTNARDL;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises

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