Oil prices, exchange rates and emerging stock markets
Syed Abul Basher,
Alfred Haug and
Perry Sadorsky
Energy Economics, 2012, vol. 34, issue 1, 227-240
Abstract:
While two different streams of literature exist investigating 1) the relationship between oil prices and emerging market stock prices and 2) the relationship between oil prices and exchange rates, relatively little is known about the dynamic relationship between oil prices, exchange rates and emerging market stock prices. This paper proposes and estimates a structural vector autoregression model to investigate the dynamic relationship between these variables. Impulse responses are calculated in two ways (standard and the recently developed projection based methods). The model supports stylized facts. In particular, positive shocks to oil prices tend to depress emerging market stock prices and US dollar exchange rates in the short run. The model also captures stylized facts regarding movements in oil prices. A positive oil production shock lowers oil prices while a positive shock to real economic activity increases oil prices. There is also evidence that increases in emerging market stock prices increase oil prices.
Keywords: Emerging market stock prices; Oil prices; Exchange rates; SVAR (search for similar items in EconPapers)
JEL-codes: G15 Q43 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (392)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988311002337
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Oil prices, exchange rates and emerging stock markets (2011) 
Working Paper: Oil Prices, Exchange Rates and Emerging Stock Markets (2010) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:1:p:227-240
DOI: 10.1016/j.eneco.2011.10.005
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
Bibliographic data for series maintained by Catherine Liu ().