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

Author

Listed:
  • Anna Creti

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Zied Ftiti
  • Khaled Guesmi

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Anna Creti & Zied Ftiti & Khaled Guesmi, 2013. "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," Working Papers hal-04141209, HAL.
    • Handle: RePEc:hal:wpaper:hal-04141209
    Note: View the original document on HAL open archive server: https://hal.science/hal-04141209
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    References listed on IDEAS

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