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Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model

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  • Hashmi, Shabir Mohsin
  • Chang, Bisharat Hussain
  • Huang, Liangfang
  • Uche, Emmanuel

Abstract

This study examines the interaction between oil prices, exchange rate, and stock returns in Pakistan by using quarterly data from January 2000 to December 2019. We extend the existing literature by using quantile ARDL model which helps to examine the short-run and long-run relationship across different (bullish, bearish, and normal) states of oil, currency, and stock markets. Findings indicate that the impact of oil prices and exchange rate on stock prices varies across bullish, bearish, and normal states of the stock market. On the contrary, the impact of oil prices and stock prices on exchange rate does not vary across different states of the currency market. These findings provide important policy implications for Governments and other stakeholders in the context of Pakistan.

Suggested Citation

  • Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100550x
    DOI: 10.1016/j.resourpol.2021.102543
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    Keywords

    Quantile ARDL model; Oil prices; Stock market; Exchange rate; Pakistan;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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