Abstract
The present paper endeavours to analyse the volatility spill over between crude oil price and exchange rate for India using daily data for time period June 2003 to March 2016. To examine the impact of oil price on exchange rate of Indian Rupee against U.S. Dollar, Generalised Autoregressive Conditional Heteroskedasticity (GARCH) and Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) models have been employed. The analysis reveals that an increase in oil price return leads to depreciation of Indian Currency with respect to U.S. Dollar. The study establishes that positive and negative oil price shocks have similar effects, in terms of magnitude, on exchange rate volatility and also have permanent effect on exchange rate volatility.
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