Purpose

Crude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.

Design/methodology/approach

This study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.

Findings

The main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.

Practical implications

Gold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.

Originality/value

Gold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

中文翻译：

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黄金和原油价格的波动性与印度利率的整合

目的

原油、黄金和利率是国内和全球经济健康状况的一些关键指标。研究的目的是找出黄金和原油市场的冲击波动和价格波动对印度利率的影响。

设计/方法论/途径

本研究发现印度黄金、原油和利率波动之间存在相互和方向性关联。采用双变量GARCH模型（Diagonal VEC GARCH和BEKK GARCH）对2015年11月30日至2020年11月16日（周）收集的黄金价格、原油价格和收益率（利率）样本数据进行调查波动性关联，包括三个市场的波动性溢出效应。

发现

该研究的主要发现集中在黄金和利率之间存在长期条件相关性，但没有证据表明黄金和原油对利率产生波动溢出。该研究的结果对于政策制定者来说尤其重要，因为他们指出黄金和原油价格的波动不会对印度的利率产生不利影响。因此，黄金和原油价格的波动总体上可能会影响经济，但与利率无关。这意味着该国的国内外投资不会受到主要由该国利率驱动的黄金和原油的影响。

实际影响

黄金和原油是两种非常重要的商品，不仅对国内事务而且对国际商业也很重要。它们确实影响着任何国家的经济，包括外汇交易。除此之外，研究人员相信这些发现将为政策制定者、利益相关者和投资者提供见解。

原创性/价值

黄金和原油无疑会影响汇率，但由于研究结果参差不齐，它们对经济利率的影响并不明确，而且仍然不明确。尽管黄金和原油对任何经济体的健康发展都至关重要，但缺乏与黄金和原油对利率影响相关的研究，这是本研究的主要动机。这项研究很新颖，因为它调查了原油和黄金的波动性对利率的影响，并通过其研究结果为现有文献做出了贡献。