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Time-frequency relationship between energy imports, energy prices, exchange rate, and policy uncertainties in India: Evidence from wavelet quantile correlation approach

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  • Jalal, Rubia
  • Gopinathan, R.

Abstract

This study examined the relationship between energy imports, energy prices, exchange rate, and policy uncertainty over different time-frequency and across various quantiles by employing the wavelet quantile correlation. The findings suggest that the relationship changes over different time-frequencies and across various quantiles. Moreover, during the COVID-19 to neo-normal period, exchange rate and geopolitical risk exhibit a relatively stronger relationship than energy prices and economic policy uncertainty at both lower and higher frequencies across quantiles. Further, the findings suggest that to reduce energy imports, policymakers should adopt different strategies for both shorter and longer time-horizons.

Suggested Citation

  • Jalal, Rubia & Gopinathan, R., 2023. "Time-frequency relationship between energy imports, energy prices, exchange rate, and policy uncertainties in India: Evidence from wavelet quantile correlation approach," Finance Research Letters, Elsevier, vol. 55(PB).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003525
    DOI: 10.1016/j.frl.2023.103980
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    More about this item

    Keywords

    Energy imports; Exchange rate; Geopolitical risk; Wavelet;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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