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Oil Prices, Exchange Rates and Emerging Stock Markets

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Author Info

  • Syed Abul Basher

    () (Department of Research & Monetary Policy Qatar Central Bank)

  • Alfred Haug

    () (Department of Economics, University of Otago)

  • Perry Sadorsky

    () (Schulich School of Business, York University)

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.

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File URL: http://www.business.otago.ac.nz/econ/research/discussionpapers/DP_1014.pdf
File Function: First version, 2010
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Bibliographic Info

Paper provided by University of Otago, Department of Economics in its series Working Papers with number 1014.

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Length: 36 pages
Date of creation: Sep 2010
Date of revision: Sep 2010
Handle: RePEc:otg:wpaper:1014

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Keywords: Emerging markets; oil prices; exchange rates;

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References

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Citations

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Cited by:
  1. Ibrahim Turhan & Erk Hacihasanoglu & Ugur Soytas, 2013. "Oil Prices and Emerging Market Exchange Rates," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 49(S1), pages 21-36, January.
  2. Sascha Buetzer & Maurizio Michael Habib & Livio Stracca, 2012. "Global exchangerate configuration: do oil shocks matter?," Working Paper Series 1442, European Central Bank.
  3. Lóránd István KRÁLIK, 2012. "Macroeconomic Variables and Stock Market Evolution," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(2), pages 197-203, May.
  4. Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS) 971, University of Warwick, Department of Economics.

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