This study examines the nonlinear and quantile-dependent macroeconomic effects of crude oil price fluctuations in India using the quantile-on-quantile regression (QQR) framework. The analysis covers four key macroeconomic indicators: private final consumption expenditure (PFCE), gross fixed capital formation (GFCF), real gross domestic product (RGDP) and the consumer price index (CPI), capturing consumption, investment, income and inflation dynamics. Unlike conventional linear or standard QR models, the QQR framework simultaneously captures heterogeneity across both oil price regimes and macroeconomic states, enabling a two-dimensional assessment of nonlinear and asymmetric transmission effects. The results confirm pronounced heterogeneity and state-dependent transmission of oil shocks. Consumption and income responses are strongest in low and moderate oil price regimes but weaken at higher quantiles, reflecting demand adjustment and policy offsets. Investment shows sharper nonlinearity, contracting significantly during high oil price regimes. Inflation responses are asymmetric: declines yield limited disinflation, while increases exert strong inflationary pressure in upper CPI quantiles. Overall, the findings underscore the importance of accounting for distributional heterogeneity and suggest that policy responses should be conditioned on prevailing oil price and macroeconomic regimes rather than average historical effects.
AastveitK. A., BjørnlandH. C., & ThorsrudL. A. (2015). What drives oil prices? Emerging versus developed economies. Journal of Applied Econometrics, 30(7), 1013–1028. https://doi.org/10.1002/jae.2406
2.
AhmedR., ChenX. H., KumpamoolC., & NguyenD. T. K. (2023). Inflation, oil prices, and economic activity in recent crisis: Evidence from the UK. Energy Economics, 126, 106918. https://doi.org/10.1016/j.eneco.2023.106918
3.
AkadiriS. S., OzkanO., OgbekeneI., & HamzaF. (2025). Oil shocks and unexpected economic policy uncertainty: Evidence from wavelet nonparametric quantile causality. Humanities and Social Sciences Communications, 12(1), 1638. https://doi.org/10.1057/s41599-025-05574-5
4.
AllegretJ.-P., MignonV., & SallenaveA. (2015). Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies. Economic Modelling, 49, 232–247. https://doi.org/10.1016/j.econmod.2015.04.009
5.
AyeG. C., DadamV., GuptaR., & MambaB. (2014). Oil price uncertainty and manufacturing production. Energy Economics, 43, 41–47. https://doi.org/10.1016/j.eneco.2014.02.004
6.
BallL., ChariA., & MishraP. (2016). Understanding inflation in India. https://doi.org/10.3386/w22948
7.
BasnetH. C., & UpadhyayaK. P. (2015). Impact of oil price shocks on output, inflation and the real exchange rate: Evidence from selected ASEAN countries. Applied Economics, 47(29), 3078–3091. https://doi.org/10.1080/00036846.2015.1011322
8.
BaumeisterC., & KilianL. (2016). Forty years of oil price fluctuations: Why the price of oil may still surprise us. Journal of Economic Perspectives, 30(1), 139–160. https://doi.org/10.1257/jep.30.1.139
9.
BernankeB. S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98(1), 85. https://doi.org/10.2307/1885568
10.
BilalA., AhmedS., ZadaH., ThalassinosE., & NawazM. H. (2025). How do asymmetric oil prices and economic policy uncertainty shapes stock returns across oil importing and exporting countries? Evidence from instrumental variable quantile regression approach. Risks, 13(5), 93. https://doi.org/10.3390/risks13050093
11.
BouriE., KachachaI., & RoubaudD. (2020). Oil market conditions and sovereign risk in MENA oil exporters and importers. Energy Policy, 137, 111073. https://doi.org/10.1016/j.enpol.2019.111073
12.
BrownS. P. A., & YücelM. K. (2002). Energy prices and aggregate economic activity: An interpretative survey. The Quarterly Review of Economics and Finance, 42(2), 193–208. https://doi.org/10.1016/S1062-9769(02)00138-2
13.
ChatziantoniouI., GabauerD., & StenforsA. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891. https://doi.org/10.1016/j.econlet.2021.109891
14.
CunadoJ., & Perez de GraciaF. (2005). Oil prices, economic activity and inflation: Evidence for some Asian countries. The Quarterly Review of Economics and Finance, 45(1), 65–83. https://doi.org/10.1016/j.qref.2004.02.003
15.
DickeyD. A., & FullerW. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. https://doi.org/10.1080/01621459.1979.10482531
16.
ElderJ., & SerletisA. (2010). Oil price uncertainty. Journal of Money, Credit and Banking, 42(6), 1137–1159. https://doi.org/10.1111/j.1538-4616.2010.00323.x
17.
GhoshS. (2009). Import demand of crude oil and economic growth: Evidence from India. Energy Policy, 37(2), 699–702. https://doi.org/10.1016/j.enpol.2008.10.021
18.
GhoshS. (2011). Examining crude oil price—Exchange rate nexus for India during the period of extreme oil price volatility. Applied Energy, 88(5), 1886–1889. https://doi.org/10.1016/j.apenergy.2010.10.043
19.
GuoC., ZhangX., & IqbalS. (2024). Does oil price volatility and financial expenditures of the oil industry influence energy generation intensity? Implications for clean energy acquisition. Journal of Cleaner Production, 434, 139907. https://doi.org/10.1016/j.jclepro.2023.139907
20.
GuptaP., & GoyalA. (2015). Impact of oil price fluctuations on Indian economy. OPEC Energy Review, 39(2), 141–161. https://doi.org/10.1111/opec.12046
21.
HamiltonJ. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91(2), 228–248. https://doi.org/10.1086/261140
22.
HamiltonJ. D. (1996). This is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics, 38(2), 215–220. https://doi.org/10.1016/S0304-3932(96)01282-2
23.
IMF. (2025). India. IMF Staff Country Reports, 2025(054), 1. https://doi.org/10.5089/9798229002899.002
24.
IslamMd. S., AhmedF., IslamMd. M., ur RehmanA., & AlamMd. F. (2024). The impact of oil price shocks on oil and gas production amidst geopolitical risk in OPEC: Insights from method of moments quantile regression. Journal of the Knowledge Economy, 16(2), 9776–9805. https://doi.org/10.1007/s13132-024-02296-y
25.
JawadiF., CheffouA. I., & BuR. (2023). Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?Energy Economics, 127, 107058. https://doi.org/10.1016/j.eneco.2023.107058
26.
KilianL. (2008). The economic effects of energy price shocks. Journal of Economic Literature, 46(4), 871–909. https://doi.org/10.1257/jel.46.4.871
27.
KilianL. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053–1069. https://doi.org/10.1257/aer.99.3.1053
28.
KilianL., & ParkC. (2009). The impact of oil price shocks on the U.S. stock market. International Economic Review, 50(4), 1267–1287. https://doi.org/10.1111/j.1468-2354.2009.00568.x
29.
KilianL., & VigfussonR. J. (2011). Are the responses of the U.S. economy asymmetric in energy price increases and decreases?Quantitative Economics, 2(3), 419–453. https://doi.org/10.3982/QE99
30.
LardicS., & MignonV. (2008). Oil prices and economic activity: An asymmetric cointegration approach. Energy Economics, 30(3), 847–855. https://doi.org/10.1016/j.eneco.2006.10.010
31.
MensiW., Al Rababa’aA. R., VoX. V., & KangS. H. (2021). Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets. Energy Economics, 98, 105262. https://doi.org/10.1016/j.eneco.2021.105262
32.
MoghaddamM. B. (2023). The relationship between oil price changes and economic growth in Canadian provinces: Evidence from a quantile-on-quantile approach. Energy Economics, 125, 106789. https://doi.org/10.1016/j.eneco.2023.106789
33.
MohantyD., & JohnJ. (2015). Determinants of inflation in India. Journal of Asian Economics, 36, 86–96. https://doi.org/10.1016/j.asieco.2014.08.002
34.
MohantyS. K., NandhaM., TurkistaniA. Q., & AlaitaniM. Y. (2011). Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries. Global Finance Journal, 22(1), 42–55. https://doi.org/10.1016/j.gfj.2011.05.004
35.
MorkK. A. (1989). Oil and the macroeconomy when prices go up and down: An extension of Hamilton’s results. Journal of Political Economy, 97(3), 740–744. https://doi.org/10.1086/261625
36.
NibeditaB., & IrfanM. (2022). Analyzing the asymmetric impacts of renewables on wholesale electricity price: Empirical evidence from the Indian electricity market. Renewable Energy, 194, 538–551. https://doi.org/10.1016/j.renene.2022.05.116
37.
NusairS. A., & OlsonD. (2019). The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis. Energy Economics, 78, 44–63. https://doi.org/10.1016/j.eneco.2018.11.009
PhillipsP. C. B., & PerronP. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335. https://doi.org/10.2307/2336182
41.
PindyckR. S. (1993). Investments of uncertain cost. Journal of Financial Economics, 34(1), 53–76. https://doi.org/10.1016/0304-405X(93)90040-I
42.
Prasad BalD., & Narayan RathB. (2015). Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India. Energy Economics, 51, 149–156. https://doi.org/10.1016/j.eneco.2015.06.013
43.
RafiqS., & SalimR. (2014). Does oil price volatility matter for Asian emerging economies? Economic Analysis and Policy, 44(4), 417–441. https://doi.org/10.1016/j.eap.2014.11.002
44.
SarmahA., & BalD. P. (2021). Does crude oil price affect the inflation rate and economic growth in India? A new insight based on structural VAR framework. The Indian Economic Journal, 69(1), 123–139. https://doi.org/10.1177/0019466221998838
45.
ShahbazM., ZakariaM., ShahzadS. J. H., & MahalikM. K. (2018). The energy consumption and economic growth nexus in top ten energy-consuming countries: Fresh evidence from using the quantile-on-quantile approach. Energy Economics, 71, 282–301. https://doi.org/10.1016/j.eneco.2018.02.023
46.
SimN., & ZhouH. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking & Finance, 55, 1–8. https://doi.org/10.1016/j.jbankfin.2015.01.013
47.
Taghizadeh-HesaryF., YoshinoN., Mohammadi Hossein AbadiM., & FarboudmaneshR. (2016). Response of macro variables of emerging and developed oil importers to oil price movements. Journal of the Asia Pacific Economy, 21(1), 91–102. https://doi.org/10.1080/13547860.2015.1057955
48.
TillaguangoB., HossainM. R., CuestaL., AhmadM., AlvaradoR., MurshedM., RehmanA., & IşıkC. (2024). Impact of oil price, economic globalization, and inflation on economic output: Evidence from Latin American oil-producing countries using the quantile-on-quantile approach. Energy, 302, 131786. https://doi.org/10.1016/j.energy.2024.131786
49.
TiwariA. K., DamM. M., AltıntaşH., & BekunF. V. (2025). The dynamic connectedness between oil price shocks and emerging market economies stock markets: Evidence from new approaches. Energy Economics, 141, 108101. https://doi.org/10.1016/j.eneco.2024.108101
50.
UmarM., RiazY., & YousafI. (2022). Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach. Resources Policy, 79, 102966. https://doi.org/10.1016/j.resourpol.2022.102966
