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Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries

Anna Creti, Zied Ftiti and Khaled Guesmi

No 2013-11, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), and developed by Ftiti (2010) that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and long-run dependence. We find that interdependence between the oil price and the stock market is higher in exporters’ markets than the importers’ ones.

Keywords: oil prices; stock markets; evolutionary co-spectral analysis (search for similar items in EconPapers)
JEL-codes: C14 C22 G12 G15 Q43 (search for similar items in EconPapers)
Date: 2013
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Working Paper: Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries (2013)
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