Oil price risk and emerging stock market

Posted: Ffleur Date of post: 08.06.2017

Oil prices, exchange rates and emerging stock markets - Munich Personal RePEc Archive

Basher, Syed Abul and Haug, Alfred A. Oil prices, exchange rates and emerging stock markets. While two different streams of literature exist investigating 1 the relationship between oil prices and emerging market stock prices and 2 the relationship between oil prices and exchange rates, relatively little is known about the dynamic relationship between oil prices, exchange rates and emerging market stock prices.

oil price risk and emerging stock market

This paper proposes and estimates a structural vector autoregression model to investigate the dynamic relationship between these variables. Impulse responses are calculated in two ways standard and projection based methods.

The model supports stylized facts.

oil price risk and emerging stock market

In particular, positive shocks to oil prices tend to depress emerging market stock prices and US dollar exchange rates in the short run.

The model also captures stylized facts regarding movements in oil prices. A positive oil production shock lowers oil prices while a positive shock to real economic activity increases oil prices. There is also evidence that increases in emerging market stock prices increases oil prices.

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oil price risk and emerging stock market

All papers reproduced by permission. Reproduction and distribution subject to the approval of the copyright owners. MPRA is a RePEc service hosted by the Munich University Library in Germany. BP Statistical Review of World Energy, June www. Exogeneity, Econometrica, 51, — Oil prices and exchange rates, Economic Journal, 93, Time Series Analysis, Princeton, NJ: What is an oil shock?

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