Title: Impact of macroeconomic variables on commodity indices in India: an application of ARDL model
Authors: Sonia Garg; Karam Pal Narwal
Addresses: Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar – 125001, Haryana, India ' Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar – 125001, Haryana, India
Abstract: This paper analyses the impact of macroeconomic variables on MCX (Multi Commodity Exchange of India Limited) India Commodity Indices (iCOMDEX) for the period from January 2016 to March 2020 using an autoregressive distributed lag (ARDL) model. The results showed that there exists a long-run cointegration between Indian Commodity Indices (iCOMDEX composite, iCOMDEX bullion, iCOMDEX metal and iCOMDEX energy and macroeconomic variables. The results also indicate that index of industrial production (IIP) and wholesale price index (WPI) have positive and significant impact on iCOMDEX composite. IIP and WPI have positive and significant impact on iCOMDEX metal. Similarly, TBill (interest rate), IIP and WPI have positive and significant impact on iCOMDEX energy. However, we found no such macroeconomic variable which have a significant impact on iCOMDEX bullion.
Keywords: macroeconomic variables; ARDL; VECM; impulse response function; forecast error variance decomposition; iCOMDEX composite; iCOMDEX bullion; iCOMDEX metal; iCOMDEX energy; indices; index of industrial production; IIP; wholesale price index; WPI.
International Journal of Management Concepts and Philosophy, 2022 Vol.15 No.1, pp.57 - 79
Received: 15 Jun 2021
Accepted: 17 Jun 2021
Published online: 21 Jan 2022 *