Effet du ROP, RIP, et R sur RSP: Symétrie ou Asymétrie? Cas des pays exportateurs et importateurs de pétrole

ROP, RIP, and R effects on RSP, symmetric or asymmetric? case of oil exporter and importer countries

Malika Neifar and Amira HarzAllah

MPRA Paper from University Library of Munich, Germany

Abstract: This paper seeks to explore the impact of oil price shocks, real industrial production and interest rate on stock prices for six oil exporting countries and five oil importing countries using nonlinear autoregressive distributed lags (NARDL)model using monthly data for the period 1993 : 09−2017 : 01. Empirical results show strong evidence of asymmetry in the impact of positive and negative changes in oil prices, industrial production, and short term interest rate on the stock market price. We find that the reaction of real stock prices to an oil shock can vary considerably depending on whether the country is a net importer or net exporter of oil.

Keywords: NARDL; Asymmetry; Symmetry; Oil exporting countries; Oil importing countries (search for similar items in EconPapers)
JEL-codes: C32 G1 G15 Q43 (search for similar items in EconPapers)
Date: 2024-05-15
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:120938

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