Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries

Imed Chkir, Khaled Guesmi, Angham Ben Brayek and Kamel Naoui

Research in International Business and Finance, 2020, vol. 54, issue C

Abstract: This article investigates the multivariate dependence between oil prices, equity markets, and exchange rates in certain oil-importing and oil-exporting countries by applying the vine copulas approach which offers a greater flexibility and permits the modelling of complex dependency patterns for high-dimensional distributions. Our results show that the dependence between oil and exchange rates is significantly negative during different periods of analysis, except for the British Pound and Japanese Yen exchange rates. This result indicates that oil may serve as a weak hedge against exchanges rates.

Keywords: Oil prices; Stock markets; Exchange rates; Vine copula; Hedge (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531920300659
Full text for ScienceDirect subscribers only

Related works:
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:riibaf:v:54:y:2020:i:c:s0275531920300659

DOI: 10.1016/j.ribaf.2020.101274

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().