Department of Management Sciences, The Institute of Cost and Management Accountants of India, Karnataka, India
Mini Review
Long Term Relationship between Crude Oil Price and Exchange Rate in the context of India and Emerging Countries
Author(s): Avik Ghosh*
The study is aimed at finding relationship between crude oil price in international market and exchange rate of Indian currency. As Indian
economy is import dependent with high degree of inclination to crude oil import, the forex outgo due to this impacts Indian economy. The
depreciation of Indian currency due to higher demand of USD and increasing trend of import dependency on crude oil aggravates the fiscal
framework. The analysis is desired to find causality and auto regressive relationship between these two variables. The real exchange rate
return has been compared in the process with real crude oil price which is found after adjusting it with CPI inflation of US. The Vector
Auto Regressive (VAR) model was used to identify lag relationship and subsequently lag length criteria was performed. The lag exclusion
test specified the significant lag order. The granger c.. Read More»
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