An empirical study on relationship between crude oil prices, gold prices and exchange rate in India

This study using the monthly data spanning 1995:01–2012:07 to investigate the relationship between the prices of two strategic commodities: crude oil prices and Gold prices and Exchange rate in India. The aim of this study is to analyse and determine the character of the co-movement between price levels. This study used methods of analysis and synthesis of theoretical knowledge from literature, research articles and other publications and for this purpose we have used such as Correlation, Regression, ADF test, ADF (GLS) test, KPSS test, Granger causality, VAR Log Order selection Criteria, Johansen co-integration test and vector error correction model. Further, Results shows that there is a short run and long-run relationship existing between the prices of crude oil and gold and exchange rate.