An Econometric Investigation of Long and Short Run Relationship Among Crude Oil Price, Exchange Rate and Stock Price in India : An ARDL-UECM Approach

The present study aims to investigate the long and short run relationship between Crude Oil Price, Exchange Rate Volatility and Stock Price in India using ARDL-UECM approach. The study used monthly data from the period April 2000 to January 2015. The cointegration result reveals that crude oil price tends to have long run relationship with exchange rate and stock price and changes in the independent variables have significant impact on volatility of crude oil prices. The long run estimates of ARDL Process indicate that impact of exchange rate volatility on crude oil is negative whereas the interaction between NSE Stock price and crude oil price is positive. The Short Run Dynamic coefficients associated with long run relationships reveals that the estimated error correction coefficient is negative which indicates that adjustment process from short run deviation is quite slow. The analysis would enhance the understanding of dynamic interaction between the crude oil price, exchange rate and stock price. The empirical outcome is of wider interest and has large implications for market integration, policy makers and investors at large