We use a continuous wavelet approach and deploy asymmetric, multi-horizon Granger-causality tests between the return series of the oil price and the India-US exchange rate, over the time-span 1980M1-2016M2. The results highlight important co-movements in the post-reform period, especially for the 2-4-years band. The wavelet Granger-causality tests show that the exchange rate Granger-causes the oil price in the long run, while the opposite applies in the short run. Moreover, we find that the Granger-causal relationship between variables is non-linear, asymmetric and indirect, which will help policymakers and traders to make better strategic and investment decisions. (C) 2016 Elsevier Ltd. All rights reserved.