 Disentangling the role of the exchange rate in oil-related scenarios for the European stock marketEnergy Economics, 2020, vol. 89, issue C Abstract: The literature has been analysing so far the response of the stock market to a distress scenario for oil prices considering prices in domestic currency. This assumption implies merging commodity risk and exchange rate risk. This article proposes to generate oil-related scenario depending on the source of risk. The same distress oil-related scenario in euros could generate an opposite impact on the European stock market depending on the source of risk. Results show higher losses for Eurostoxx when oil prices in euros experience a downward movement due to a decrease of oil price in US dollars and when oil prices in euros experience an upward movement due to a depreciation of the euro against the US dollar. This framework can improve our understanding of how the exchange rate interacts in global markets. Also, it contributes to the design of tailor-made international scenarios for stress testing. Keywords: Copula; Stress test scenario; Exchange rate; Spillover analysis; Oil shock (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:89:y:2020:i:c:s014098832030116x DOI: 10.1016/j.eneco.2020.104776 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.