Oil prices, exchange rates and emerging stock markets

被引:439
|
作者
Basher, Syed Abul [2 ]
Haug, Alfred A. [3 ]
Sadorsky, Perry [1 ]
机构
[1] York Univ, Schulich Sch Business, Toronto, ON M3J 1P3, Canada
[2] Qatar Cent Bank, Dept Res & Monetary Policy, Doha, Qatar
[3] Univ Otago, Dept Econ, Dunedin, New Zealand
关键词
Emerging market stock prices; Oil prices; Exchange rates; SVAR; SUPPLY SHOCKS; UNIT-ROOT; ECONOMIC-ACTIVITY; IMPULSE-RESPONSE; CANADIAN OIL; US; RISK; INFERENCE; RETURNS; TESTS;
D O I
10.1016/j.eneco.2011.10.005
中图分类号
F [经济];
学科分类号
02 ;
摘要
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. 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 the recently developed 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. 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 increase oil prices. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码:227 / 240
页数:14
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