Can oil prices predict the direction of exchange rate movements? An empirical and economic analysis for the case of India

References

• Anoruo, E., & Elike, U. (2009). An empirical investigation into the impact of high oil prices on economic growth of oil-importing african countries. International Journal of Economic Perspectives, 3, 121–129.
   Google Scholar
• Al-Abdulhadi, D. J. (2014). An analysis of demand for oil products in Middle East countries. International Journal of Economic Perspectives, 8, 5–12.
   Google Scholar
• Ahmad, A. H., & Hernandez, R. M. (2013). Asymmetric adjustment between oil prices and exchange rates: Empirical evidence from major oil producers and consumers. Journal of International Financial Markets, Institutions and Money, 27, 306–317. doi: 10.1016/j.intfin.2013.10.002
   Web of Science ®Google Scholar
• Amano, R. A., & Van Norden, S. (1998). Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance, 17(2), 299–316. doi: 10.1016/S0261-5606(98)00004-7
   Web of Science ®Google Scholar
• Arteta, C., Kamin, S. B., & Vitanza, J. (2011). The puzzling peso. Journal of International Money and Finance, 30(8), 1814–1835. doi: 10.1016/j.jimonfin.2011.09.002
   Web of Science ®Google Scholar
• Chan, K. S. (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics, 21(1), 520–533. doi: 10.1214/aos/1176349040
   Web of Science ®Google Scholar
• Chaudhuri, K., & Daniel, B. C. (1998). Long-run equilibrium real exchange rates and oil prices. Economics Letters, 58(2), 231–238. doi: 10.1016/S0165-1765(97)00282-6
   Web of Science ®Google Scholar
• Chen, S. S., & Chen, H. C. (2007). Oil prices and real exchange rates. Energy Economics, 29(3), 390–404. doi: 10.1016/j.eneco.2006.08.003
   Web of Science ®Google Scholar
• Clarida, R., & Gali, J. (1994). Sources of real exchange-rate fluctuations: How important are nominal shocks? Carnegie-Rochester Conference Series on Public Policy, 41, 1–56. doi: 10.1016/0167-2231(94)00012-3
   Google Scholar
• Coudert, V., Mignon, V., & Penot, A. (2008). Oil price and the dollar. Energy Studies Review, 15, 45–58.
   Google Scholar
• Corden, W. M. (1984). Booming sector and Dutch disease economics: Survey and consolidation. Oxford Economic Papers, 36(3), 359–380. doi: 10.1093/oxfordjournals.oep.a041643
   Web of Science ®Google Scholar
• Elliot, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836. doi: 10.2307/2171846
   Web of Science ®Google Scholar
• Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19, 166–176. doi: 10.1198/073500101316970395
   Web of Science ®Google Scholar
• Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. doi: 10.2307/1913236
   Web of Science ®Google Scholar
• Gokmenoglu, K. K., Bekun, F. V., & Taspinar, N. (2016). Impact of oil dependency on agricultural development in Nigeria. International Journal of Economic Perspectives, 10, 151–163.
   Google Scholar
• Golub, S. S. (1983). Oil prices and exchange rates. The Economic Journal, 93(371), 576–593. doi: 10.2307/2232396
   Web of Science ®Google Scholar
• Issa, R., Lafrance, R., & Murray, J. (2008). The turning black tide: Energy prices and the Canadian dollar. Canadian Journal of Economics/Revue Canadienne D'économique, 41(3), 737–759. doi: 10.1111/j.1540-5982.2008.00483.x
   Web of Science ®Google Scholar
• Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231–254. doi: 10.1016/0165-1889(88)90041-3
   Google Scholar
• Katircioglu, S., Ozatac, N., & Taspinar, N. (2018). The role oil prices, growth and inflation in bank profitability. The Service Industries Journal, 20, 1–20
   Web of Science ®Google Scholar
• Krugman, P. R. (1983a). Oil and the dollar. In Bhandari, J. S., Putnam, B. H. (Eds), Economic Interdependence and Flexible Exchange Rates (179-190). Cambridge: Cambridge University Press.
   Google Scholar
• Krugman, P. R. (1983b). Oil shocks and exchange rate dynamics. In Frankel, J. A. (Ed.), Exchange Rates and International Macroeconomics (259-284). Chicago: University of Chicago Press.
   Google Scholar
• Mohammadi, H., & Jahan-Parvar, M. (2012). Oil prices and exchange rates in oil-exporting countries: Evidence from TAR and M-TAR models. Journal of Economics and Finance, 36(3), 766–779. doi: 10.1007/s12197-010-9156-5
   Google Scholar
• Mundaca, G. (2013). Oil prices and exchange rate volatility in Arab countries. Applied Economics Letters, 20(1), 41–47. doi: 10.1080/13504851.2012.674200
   Web of Science ®Google Scholar
• Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root test with good size and power. Econometrica, 69(6), 1519–1554. doi: 10.1111/1468-0262.00256
   Web of Science ®Google Scholar
• Sodeyfi, S., & Katircioglu, S. (2016). Interactions between business conditions, economic growth, and crude oil prices. Economic Research - Ekonomska Istraživanja, 29(1), 980–990. doi: 10.1080/1331677X.2016.1235504
   Web of Science ®Google Scholar
• Shaeri, K., Adaoglu, C., & Katircioglu, S. (2016). Oil price risk exposure: A comparison of financial and non-financial subsectors. Energy, 109, 712–723. doi: 10.1016/j.energy.2016.05.028
   Web of Science ®Google Scholar
• Shaeri, K., & Katircioğlu, S. (2018). The nexus between oil prices and stock prices of oil, technology and transportation companies under multiple regime shifts. Economic Research - Ekonomska Istraživanja, 31(1), 681–702. doi: 10.1080/1331677X.2018.1426472
   Web of Science ®Google Scholar