The studies involving finding a relation between oil prices and the exchange rate have often looked the relationship when the oil price was rising. Will the impact mirror for declining oil prices too? Or how the exchange rate behaves when oil prices are just volatile without any appreciable change in price. This study contributes to the literature to see the effect of oil prices on the exchange rate for different episodes for India using daily data for twenty years period. The study finds that the return of oil price and exchange rate relationship exhibit time-varying volatility in five of the total ten sub-periods in the last 20 years. GARCH and EGARCH models are then employed to study the impact of oil price shock on the nominal exchange rate for those periods. The study finds (a) not all periods have varying volatility, (b) for two of the volatile period, an increase in the oil price return leads to depreciation of the Indian currency vis-à-vis US dollar, (c) in line with other studies, we find that shocks to exchange rate have an asymmetric effect, and (d) oil price shocks have a permanent effect on exchange rate volatility.

中文翻译：

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汇率波动与油价波动对称吗？印度调查

涉及寻找油价与汇率之间关系的研究经常在油价上涨时寻找这种关系。石油价格下跌的影响是否也会反映出来？或者，当油价只是波动而价格没有任何明显变化时，汇率的行为方式。这项研究为文献提供了帮助，利用二十年来的每日数据，可以看到印度不同时期的油价对汇率的影响。研究发现，在过去20年中，石油价格的回报率和汇率关系在十个子时期中的五个时期中表现出随时间变化的波动性。然后使用GARCH和EGARCH模型研究那些时期内石油价格冲击对名义汇率的影响。研究发现（a）并非所有时期的波动性都不同，