Article ID Journal Published Year Pages File Type
986322 Resources Policy 2013 6 Pages PDF
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.

► Cointegration and causality among oil prices, precious metal prices and exchange rate examined. ► ARDL bounds tests of cointegration and Toda–Yamamoto version of Granger causality employed. ► Variables appear to be cointegrated. ► Exchange rate Granger causes all other variables. ► Generalized variance decomposition of variables due to various shocks examined.

Related Topics
Physical Sciences and Engineering Earth and Planetary Sciences Economic Geology
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