Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India (Energy Economics 2015)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Debi Prasad Bal, Badri Narayan Rath Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India Energy Economics 2015 51 149–56 C32, F31, Q43 Nonlinear causality, BDS test, Oil price, Exchange rate, Volatility persistence

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - Hiemstra and Jones non-linear Granger causality test, Generalized autoregressive conditional heteroskedasticity (GARCH), Narayan and Popp (2010) unit root test, maximum-likelihood Johansen–Juselius cointegration test, Vector autoregression (VAR), BDS test - monthly data January 1994-March 2013, real effective exchange rate of India (RIX), from official website of Reserve Bank of India published in Handbook of Statistics on Indian Economy, real effective exchange rate of China from CEIC database of Euromoney Institutional Investor Company China, India -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Glauco De Vita, Emmanouil Trachanas ‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2) Energy Economics 2016 56 150–60 C22, C52, C59, F31, Q41, Q43 Replication, Causality, Oil price, Exchange rate, Unit root, Cointegration 3 - reproduction (new methods) 2 - different results - 1 - yes -

References

DOI: 10.1016/j.eneco.2015.06.013 IDEAS: a/eee/eneeco/v51y2015icp149-156.html EconPapers: RePEc:eee:eneeco:v:51:y:2015:i:c:p:149-156


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