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Oil Prices, Exchange Rates and Emerging Stock Markets

  • 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)

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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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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