Can oil prices predict the direction of exchange rate movements? An empirical and economic analysis for the case of India
Bibliographic Data
| ID | 15067764 |
|---|---|
| Authors | Thian-Hee Yiew (0000-0002-1848-9989, Universiti Tunku Abdul Rahman, corresponding author), Chee-Yin Yip (Universiti Tunku Abdul Rahman), Yip Chee-Yin (Universiti Tunku Abdul Rahman), Yan-Ling Tan (0000-0003-1861-7423, Faculty of Business and Management, Universiti Teknologi MARA Johor Branch, Segamat Campus, Malaysia), Muzafar Shah Habibullah (0000-0002-2853-8019, Universiti Putra Malaysia), C Alih Khadijah (Universiti Putra Malaysia) |
| Year | 2019 |
| Volume | 32 |
| Issue | 1 |
| Pages | 812-823 |
| Publication date | 2019-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2018.1559746 |
| OpenAlex | W2943946164 |
| Language | EN |
| Citations received | 1 |
| References cited | 21 |
This study investigates whether oil prices have enough predictive information to predict the direction of the movement of exchange rate by examining the type of cointegration relationship between exchange rate and oil prices in India between 1991Q1 and 2013Q1. Our findings suggest the existence of cointegration relationship between exchange rate and oil prices using both Engle–Granger two-step cointegration test and Johansen cointegration test. Using a momentum threshold autoregressive consistent model, we find evidence in favour of asymmetric cointegration between the two variables. Nevertheless we find no evidence to support asymmetric cointegration relationship between the two variables when threshold autoregressive, threshold autoregressive consistent, and momentum threshold autoregressive models are used. Thus, the results suggest that for certain time period, the adjustment process between exchange rate and oil price is constant, which makes it conducive for predicting the direction of exchange rate movement. However, evidence of asymmetric cointegration suggests that the stable relationship is likely to be interrupted with intervals of structural change implying correction in the dynamics of influencing factors
Autoregressive model · Cointegration · Distributed lag · Econometrics · Economics · Error correction model · Exchange rate · Financial economics · Johansen test · Macroeconomics · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Natural Resources and Economic Development
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model
Booming Sector and Dutch Disease Economics
Efficient Tests for an Autoregressive Unit Root
Cointegration and Threshold Adjustment
Interactions between business conditions, economic growth and crude oil prices
The nexus between oil prices and stock prices of oil, technology and transportation companies under multiple regime shifts
Oil Prices and Exchange Rates
Statistical analysis of cointegration vectors
| Unique citing works | 1 |
|---|---|
| Citations per year | 0.25 |
| Citation span | 2022 - 2022 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |