Abstract:The aim of this study is to empirically show the dynamic causal relationship between crude oil future prices and sectoral indices of India using daily data from November 30 th , 2011 to November 18 th , 2021 and its subsets. First, we apply ADF, P-P and KPSS unit root tests and then Johansen tests for estimating the cointegration. We use Granger Causality to find linkages and further VAR and VECM as per cointegration. VAR results are supported by Impulse Response whereas Wald tests ascertain the shortterm rela… Show more
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