All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Debi P Bal and Badri N Rath
''Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India - A Reassessment''
( 2019, Vol. 39 No.1 )
De Vita and Trachanas's (hereafter DV-T, 2016) paper published in (Energy Economics, Volume 56, May 2016, pages, 150-160) criticizes Bal and Rath's paper (Energy Economics, Volume 51, September 2015, pages, 149-156) (hereafter, BR, 2015) by undertaking a ‘pure replication' and a ‘reanalysis' using (BR, 2015) data set. The aim of this paper is to reassess (BR, 2015) by providing comments and additional evidence. We revisit (BR, 2015) with the aim of applying additional unit root, cointegration and nonlinear causality tests. The results derived from these supplementary tests clearly reveal that the oil price series is non-stationary at level. The bivariate noisy Mackey-Glass model proposed by Kyrtsou and Terraza (2003) reveals bi-directional non-linear causality exists between real oil price and exchange rate in case of China, whereas for India, only unidirectional nonlinear causality running from oil price to exchange rate.
Keywords: Reanalysis; DNS (ω) method, Nonlinear Granger Causality; Oil Price; Exchange Rate.
JEL: Q4 - Energy: General
F3 - International Finance: General
Manuscript Received : Mar 12 2018 Manuscript Accepted : Mar 16 2019

  This abstract has been downloaded 1229 times                The Full PDF of this paper has been downloaded 153560 times