Oil Prices, Exchange Rates and Emerging Stock Markets

Syed Abul Basher (), Alfred Haug and Perry Sadorsky ()
Additional contact information
Syed Abul Basher: Department of Research & Monetary Policy Qatar Central Bank
Perry Sadorsky: Schulich School of Business, York University

No 1014, Working Papers from University of Otago, Department of Economics

Abstract: While two different streams of literature exist investigating 1) the relationship between oil prices and emerging market stock prices and 2) oil prices and exchange rates, relatively little is known about the relationship between oil prices, exchange rates and emerging stock markets. This paper proposes and estimates a structural vector autoregression to investigate the dynamic relationship between these variables. Impulse responses are calculated in two ways (standard, 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.

Keywords: Emerging markets; oil prices; exchange rates (search for similar items in EconPapers)
JEL-codes: G15 Q43 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2010-09, Revised 2010-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://www.otago.ac.nz/economics/research/otago077140.pdf First version, 2010 (application/pdf)

Related works:
Journal Article: Oil prices, exchange rates and emerging stock markets (2012)
Working Paper: Oil prices, exchange rates and emerging stock markets (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:otg:wpaper:1014

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