Oil Prices, Exchange Rates and Emerging Stock Markets

Sadorsky, Perry; Haug, Alfred A.; Basher, Syed Abul

Oil Prices, Exchange Rates and Emerging Stock Markets

Basher, Syed Abul; Haug, Alfred A.; Sadorsky, Perry

Cite this item: Basher, S. A., Haug, A. A., & Sadorsky, P. (2010). Oil Prices, Exchange Rates and Emerging Stock Markets (Economics Discussion Papers Series No. 1014). Department of Economics, University of Otago. Retrieved from http://hdl.handle.net/10523/1034

Permanent link to OUR Archive version: http://hdl.handle.net/10523/1034

Date: 2010-09-01

Publisher: Department of Economics, University of Otago

Pages: 36

Series: Economics Discussion Papers Series

Series number: 1014

Keywords: Emerging markets; oil prices; exchange rates

Research Type: Discussion Paper

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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