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Analysis of the Interactive Linkages Between Gold Prices, Oil Prices, and Exchange Rate in India

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  • Seyyedsajjad Seyyedi

Abstract

This study investigates the co-movements and linkages among gold prices, oil prices, and Indian rupee–dollar exchange rates for the time span of 12 January 2004 to 30 April 2015 to investigate whether Indian economic policy-makers should detach financial policies from energy policies. Various econometrical methods such as Johansen’s cointegration test, vector autoregressive model, Granger causality test, and impulse response were used to explain the co-movements among the variables. We find that gold prices, oil prices, and rupee–dollar exchange rates stay substantially independent from each other, which denotes energy policies and financial policies must be detached.

Suggested Citation

  • Seyyedsajjad Seyyedi, 2017. "Analysis of the Interactive Linkages Between Gold Prices, Oil Prices, and Exchange Rate in India," Global Economic Review, Taylor & Francis Journals, vol. 46(1), pages 65-79, January.
    • Handle: RePEc:taf:glecrv:v:46:y:2017:i:1:p:65-79
    DOI: 10.1080/1226508X.2017.1278712
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    Cited by:

    1. Singhal, Shelly & Choudhary, Sangita & Biswal, Pratap Chandra, 2019. "Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico," Resources Policy, Elsevier, vol. 60(C), pages 255-261.
    2. Ngo Thai Hung, 2020. "Analysis of the Time-frequency Connectedness between Gold Prices, Oil Prices and Hungarian Financial Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 51-59.
    3. K.S., Sujit & Ray, Subhajyoti, 2023. "Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE," Resources Policy, Elsevier, vol. 83(C).
    4. Hapau Razvan Gabriel, 2023. "Capital Market Volatility During Crises: Oil Price Insights, VIX Index, and Gold Price Analysis," Management & Marketing, Sciendo, vol. 18(3), pages 290-314, September.
    5. Stephen Chan & Jeffrey Chu & Saralees Nadarajah & Joerg Osterrieder, 2017. "A Statistical Analysis of Cryptocurrencies," JRFM, MDPI, vol. 10(2), pages 1-23, May.
    6. Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert & Do, Hung Xuan, 2022. "Does oil impact gold during COVID-19 and three other recent crises?," Energy Economics, Elsevier, vol. 108(C).
    7. Salisu, Afees A. & Vo, Xuan Vinh & Lawal, Adedoyin, 2021. "Hedging oil price risk with gold during COVID-19 pandemic," Resources Policy, Elsevier, vol. 70(C).
    8. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.
    9. Sephton, Peter & Mann, Janelle, 2018. "Gold and crude oil prices after the great moderation," Energy Economics, Elsevier, vol. 71(C), pages 273-281.

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