Refine your search
Collections
Co-Authors
Year
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All
Mishra, Shekhar
- Analysis of Interaction between Global Crude Oil Price, Exchange Rate, Inflation and Stock Market in India:Vector Auto Regression Approach
Abstract Views :389 |
PDF Views:0
Authors
Affiliations
1 Department of Business Management, C.V. Raman College of Engineering, Bhubaneswar, PIN: 752054, IN
2 Department of Business Administration, Utkal University, Bhubaneswar, 751004, IN
1 Department of Business Management, C.V. Raman College of Engineering, Bhubaneswar, PIN: 752054, IN
2 Department of Business Administration, Utkal University, Bhubaneswar, 751004, IN
Source
Parikalpana: KIIT Journal of Management, Vol 14, No 1 (2018), Pagination: 120-133Abstract
The present paper analyses the association between global crude oil price, exchange rate, inflation and stock market in Indian economic scenario. The paper employs Vector Auto Regression Model on monthly data from April 2001 to March 2017. The monthly data has been sourced from official website of Energy Information Agency (EIA), Reserve Bank of India (RBI) and Bombay Stock Exchange (BSE). The analysis reveals the variables being integrated of Order I (1) and negates the possible existence of long run relationship among them. The analysis shows the negative relationship between stock index and inflation and positive association with exchange rate and WTI crude oil price. The paper also indicates the indicates the WTI crude oil price increase cause increase in inflation and exchange rate depreciation. Although the increase in WTI crude oil price has a favourable impact on BSE Index, the paper necessitates the need of decrease in reliance upon crude oil price so as to curb the increase in inflation and exchange rate depreciation. The policymakers need to devise policies to keep control on the increase in inflation and conserve the foreign exchange.Keywords
WTI, Inflation, Exchange Rate, Vector Auto Regression Model.Full Text
References
- Adebiyi, M. A., Adenuga, A. O., Abeng, M. O. and Omanukwue, P. N. (2012). “Oil Price Shocks, Exchange Rate and Stock Market Behavior: Empirical Evidence from Nigeria.”International Journal of Economics and Statistics, Vol. 22 (13), pp. 1-36.
- Ali, S. A., Ramzam, M., Razi, M., & Bhatti, A. G. (2012). “The Impact of Oil Prices on Food Inflation in Pakistan.”, Interdisciplinary Journal of Contemporary Research in Business, 3(11).
- Bermingham, C., (2008), “Quantifying the impact of oil prices on Inflation.”, Central bank and financial services authority of Ireland research technical paper.
- Castillo, P., Montoro, C. & Tuesta, V., (2010), “Inflation, oil price volatility and monetary policy.”, [Online] Available at: http://core.kmi.open.ac.uk/download/pdf/6616677.pdf [Accessed 20 January 2017].
- Cong, R.G., Y.M., Wei, J.L., Jiao, and Y.Fan, (2008). “Relationships between Oil Price Shocks and Stock Market: An Empirical Analysis from China.”, Energy Policy, Vol-36 (9).
- Chou, K. W. & Tseng, Y. H. (2011). “Oil price pass-through into CPI inflation in Asian emerging countries: the discussion of dramatic oil price shocks and high oil price periods.”, Journal of Economics, Finance and Management Sciences, Vol. 2(1), pp- 1-13.
- Cologni, A., & Manera, M. (2005), “Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries.”, Working Paper.
- Cunado J. and Perez de Garcia F., (2003). “Do oil shocks matter? Evidence from some European countries.”, Energy Economics, Vol. 25 pp-137-154.
- Driespronga, G., B. Jacobsenb, and B. Maat (2003), “Striking Oil: Another Puzzle?”, Journal of Financial Economics, Vol 89(2), pp-307-327.
- Ewing, B. & Thompson, M., (2007), “ Dynamic cyclical co-movements of oil prices with industrial production, consumer prices, unemployment, and stock prices.”, Energy Policy, Vol. 35, pp- 5535–5540.
- Ito, K. (2008)., “Oil Price and the Russian Economy: A VEC Model Approach.”, International Research Journal of Finance and Economics, Vol. 17, pp- 68-74.
- Jacquinotl, P., Kuismanen, M. & Mestre, R., (2009), “An assessment of the inflationary impact of oil shocks in the Euro area.”, The Energy Journal, Vol. 30(1), pp-49-84.
- Jones, C.M., and Kaul, G., (1996), “Oil and the Stock Markets”, The Journal of Finance, Vol. 11(2).
- Korhonen. I., and T. Juurikkala (2009)., “Equilibrium Exchange Rates in Oil Exporting Countries”., Journal of Economics and Finance, Vol 33(1).
- LeBlanc, M., & Chin, M. D. (2004)., “Do High Oil Prices Presage Inflation? The Evidence from G-5 Countries.” Economic Research Service.
- Nguyen, T. and F. Seiichi, (2007)., “Impact of the real exchange rate on output and inflation in Vietnam. A VAR approach”, Discussion Paper No.0625.
- Ozturk I., M., Feridun and H. Kalyoncu (2008), “Do Oil Price affects the USD/YTL Exchange Rate: Evidence from Turkey”, Prevredna Kretanja I Economska Politika 115.
- Philip OA, Akintoye AV (2006). “Oil Price Shock and Macroeconomic Activities in Nigeria.”, International Journal of Financial Economics., Vol. 3, pp-28-34.
- Roeger, W., (2005)., “International oil price changes: impact of oil prices on growth and inflation in the EU/OECD.”, International Economics and Economic Policy , Vol. 2, pp-15-32.
- Sadorsky, P., (1999), “Oil Price Shocks and Stock Market Activity.” Energy Economics, Vol 21(5).
- Serletis, A. & Shahmoradi, A., (2005), “Business cycles and natural gas prices.”, OPEC Review Vol. 29, pp-75-84.