Crude Oil Prices, Exchange Rates, Stock Markets and Industrial Production Relationships in Emerging Markets

Sibel Soylu (), İlkay Şendeniz-Yüncü () and Ugur Soytas
Additional contact information
Sibel Soylu: Turkish Airlines INC
İlkay Şendeniz-Yüncü: Middle East Technical University

Chapter Chapter 3 in Applications in Energy Finance, 2022, pp 55-83 from Springer

Abstract: Abstract The aim of this paper is to examine the relationship between exchange rates, real stock returns, crude oil prices, and industrial production levels for emerging countries. Toda Yamamoto Augmented VAR for Granger non-causality methodology is implemented to determine the linkages and make inferences about the results. Monthly data is used covering the period between January 1990 and December 2016 to determine the direction of the causality between variables. Our results show that there exists a significant causal relationship between production and crude oil prices. It is also observed that causality from exchange rates to manufacturing indices can be used to explain the economic dynamics of emerging countries. Weak causal linkage from stock market returns to industrial production is found for emerging countries, and it is unidirectional.

Keywords: Crude oil; Real stock return; Wald test; Manufacturing (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-3-030-92957-2_3

Ordering information: This item can be ordered from
http://www.springer.com/9783030929572

DOI: 10.1007/978-3-030-92957-2_3

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().