Interconnected Dynamics of Gold, Nifty, Crude Oil, and USD/INR: Insights from a Panel Data VAR Analysis
subject: Granger causality; Lag order; Panel data vector autoregression; Stationarity; USD/INR
description: This study utilizes a panel data vector autoregression (PVAR) model to examine the relationships between Gold, Nifty, Crude Oil, and USD/INR, drawing from 3105 observations sourced from Yahoo Finance. Descriptive statistics reveal notable volatility, particularly in Gold and Crude Oil. Unit root tests confirm stationarity, crucial for time series analysis. Optimal lag selection recommends a lag order of 2, balancing model accuracy and complexity. Granger causality tests indicate limited predictive power, with gold influencing USD/INR unidirectionally. Impulse response function analysis and variance decomposition underscore Golds relative independence. Robustness tests affirm stability, highlighting USD/INRs endogeneity. This study enhances understanding of financial dynamics, offering insights for risk management, portfolio diversification, and monetary policy. The Author(s), under exclusive license to Springer Nature Switzerland AG 2025.
creator: Shashidhar Yadav, J.; Saiprasad, D.; Druvakumar, Madhu; Venkatesh, S.N.; Jagadeesha, G.T.; Mahanthesh, H.B.
source: Studies in Systems, Decision and Control;Volume;555;pp.63-77
publisher: Springer Science and Business Media Deutschland GmbH
date: 01-01-2025
rights: Restricted Access; Hardcopy may be available in the library
relation: ISSN: 21984182;
language: English
type: Book chapter
coverage: Shashidhar Yadav J., School of Business and Management, Christ University, Karnataka, Bengaluru, India; Saiprasad D., Department of Commerce, Government First Grade College, Karnataka, Thyamagondlu, India; Druvakumar M., Department of Commerce, Kristu Jayanti College, Karnataka, Bengaluru, India; Venkatesh S.N., Department of Commerce, Seshadripuram First Grade College, Karnataka, Yelahanka, India; Jagadeesha G.T., Department of Commerce, Seshadripuram College, Karnataka, Tumakuru, India; Mahanthesh H.B., Department of Commerce, Seshadripuram College, Karnataka, Tumakuru, India