Himanshu Goel

Type of the article: Research Article

Abstract
This study investigates the asymmetric short- and long-run effects of gold prices, crude oil prices, and the USD/INR exchange rate on India’s Nifty 50 index. Drawing on daily data from 2022 through 2024, it employs the Nonlinear Autoregressive Distributed Lag (NARDL) model to uncover both long-term equilibrium relationships and short-term nonlinear dynamics among these key economic variables. Unit root tests reveal mixed orders of integration, reinforcing the suitability of the NARDL framework for this analysis. The long-run estimates indicate that only negative gold price shocks exert a statistically significant effect on the Nifty 50, while positive shocks appear inert. In contrast, the short-run results highlight that both USD/INR appreciations and depreciations adversely affect the index, underlining the stock market’s heightened sensitivity to exchange rate volatility. Intriguingly, short-term declines in gold prices are associated with positive responses in equity markets, potentially reflecting hedging behavior or shifts in investor sentiment. Meanwhile, crude oil price fluctuations exert no statistically meaningful impact in either the short or long term. Diagnostic checks confirm a stable long-run cointegrating relationship among the studied variables. These findings offer robust, empirically grounded insights for investors and policymakers, particularly in crafting risk mitigation strategies and informed decision-making during periods of geopolitical turbulence and economic uncertainty.