In:
Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, Vol. 3, No. 2 ( 2022-3-16)
Abstract:
This study examines interconnectedness and nonlinearity between energy futures indices, the exchange rate, and COVID-19 cases in India. Using a dynamic connectedness approach, the study confirms that, on average, 39.71% of the shock to one index spills over to all the other indices, including the exchange rate, whereas, on average, 60.29% of the shock affects itself. Further, the study finds nonlinear causality from crude oil futures to the exchange rate.
Type of Medium:
Online Resource
ISSN:
2652-6433
,
2652-6514
Language:
English
Publisher:
Asia-Pacific Applied Economics Association
Publication Date:
2022
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