Show simple item record

dc.contributor.authorBasher, Syed Abulen_NZ
dc.contributor.authorHaug, Alfred A.en_NZ
dc.contributor.authorSadorsky, Perryen_NZ
dc.date.available2011-04-07T03:06:11Z
dc.date.copyright2010-09-01en_NZ
dc.identifier.citationBasher, 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/10523/1034en
dc.identifier.urihttp://hdl.handle.net/10523/1034
dc.description.abstractWhile 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.en_NZ
dc.format.mimetypeapplication/pdf
dc.publisherDepartment of Economics, University of Otagoen_NZ
dc.relation.ispartofseriesEconomics Discussion Papers Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/econ/research/discussionpapers/index.htmlen_NZ
dc.subjectEmerging markets; oil prices; exchange ratesen_NZ
dc.subject.lcshHB Economic Theoryen_NZ
dc.titleOil Prices, Exchange Rates and Emerging Stock Marketsen_NZ
dc.typeDiscussion Paperen_NZ
dc.description.versionPublisheden_NZ
otago.bitstream.pages36en_NZ
otago.date.accession2010-10-14 21:20:46en_NZ
otago.schoolDepartment of Economicsen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints941en_NZ
otago.school.eprintsEconomicsen_NZ
dc.description.referencesAkram, Q.F. 2009. Commodity prices, interest rates and the dollar, Energy Economics, 31, 838-851. Basher, S.A. and Sadorsky, P. 2006. Oil price risk and emerging stock markets, Global Finance Journal, 17, 224-251. Benassy-Quere, A., Mignon, V. and Penot, A. 2007. China and the relationship between the oil price and the dollar, Energy Policy, 35, 5795-5805. Blanchard, O, and Gali, J. 2007. The macroeconomic effects of oil shocks: Why are the 2000s so different from the 1970s? NBER Working Paper 13368, National Bureau of Economic Research. Bloomberg, S.B. and Harris, E.S. 1995. The commodity-consumer price connection: Fact or fable? Federal Reserve Board of New York, Economic Policy Review, October, 21-38. Boyer, M.M. and Filion, D. 2007. Common and fundamental factors in stock returns of Canadian oil and gas companies, Energy Economics, 29, 428-453. BP Statistical Review of World Energy, June 2007 (www.BP.com). Cheng, H-F,Gutierrez, M.,Mahajan, A.,Shachmurove, Y. and Shahrokhi, M. 2007. A future global economy to be built by BRICs, Global Finance Journal, 18, 143-156. Christiano, L., Eichenbaum, M. and R. Vigfusson (2007). Assessing structural VARs: in D. Acemoglu, K. Rogoff, and M. Woodford (eds.), NBER Macroeconomics Annual, Volume 21, National Bureau of Economic Research, MIT–Press. Elliott, G., Rothenberg. T. J. and Stock, J. H. 1996. Efficient tests for an autoregressive unit root, Econometrica, 64, 813-836. El-Sharif, I., Brown, D., Burton, B., Nixon, B. and Russell, A. 2005. Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Economics, 27, 819-830. Engle, R. F., Hendry, D.F. and Richard, J.-F. (1983). Exogeneity, Econometrica, 51, 277–304. Faff, R.W. and Brailsford, T.J. 1999. Oil price risk and the Australian stock market, Journal of Energy Finance and Development, 4, 69-87. Fernández-Villaverde, J., Rubio-Ramírez, J.F., Sargent, T.J. and Watson, M.W. 2007. ABCs (and Ds) of understanding VARs, American Economic Review, 97, 1021-1026. Ferson, W.W. and Harvey, C.R. 1994. Sources of risk and expected returns in global equity markets, Journal of Banking and Finance, 18, 775-803. Ferson, W.W. and Harvey, C.R. 1995. Predictability and time-varying risk in world equity markets, Research in Finance, 13, 25-88. Goldberg, L. and Tille, C. 2008. Vehicle currency use in international trade, Journal of International Economics, 76, 177-192. Golub, S. 1983. Oil prices and exchange rates, Economic Journal, 93, 576-593. Gregory, A.W., Haug, A.A. and Lomuto, N. 2004. Mixed signals among tests for cointegration, Journal of Applied Econometrics, 19, 89-98. Hamilton, J.D. 1994. Time Series Analysis, Princeton, NJ: Princeton University Press. Hamilton, J.D. 2003. What is an oil shock? Journal of Econometrics, 113, 363-398. Hamilton, J.D. 2009. Causes and consequences of the oil shock of 2007-08, Brookings Papers on Economics Activity, Spring, 215-259. Hamilton, J.D. 2010. Nonlinearities and the macroeconomic effects of oil prices, NBER Working Paper No. 16186. Hammoudeh, S. and Aleisa, E. 2004. Dynamic relationships among GCC stock markets and NYMEX oil futures, Contemporary Economic Policy, 22, 250-269. Hammoudeh, S., Dibooglu, S. and Aleisa, E. 2004. Relationships among US oil prices and oil industry equity indices, International Review of Economics and Finance, 13, 427-453. Hammoudeh, S. and Huimin, L. 2005, Oil sensitivity and systematic risk in oil-sensitive stock indices, Journal of Economics and Business, 57, 1-21. Hansen, L. P. and Sargent, T.J. 1980. Formulating and estimating linear rational expectations models, Journal of Economic Dynamics and Control, 2, 7–46. Haug, A. and Smith, C. 2007. Local linear impulse responses for a small open economy, Reserve Bank of New Zealand Discussion Paper DP2007/09, available at http://www.rbnz.govt.nz/research/discusspapers/dp07_09.pdf Henriques, I. and Sadorsky, P. 2008. Oil prices and the stock prices of alternative energy companies, Energy Economics, 30, 998-1010. Herrera, A.M. and Pesavento, E. 2009. Oil price shocks, systematic monetary policy, and the ‘Great Moderation’, Macroeconomic Dynamics, 13, 107-137. Huang, R. D., Masulis, R.W. and Stoll, H.R. 1996. Energy shocks and financial markets, Journal of Futures Markets, 16, 1-27. Huang, B.-N., Hwang, M.J. and Peng, H-P. 2005. The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model, Energy Economics, 27, 455-476. International Energy Agency. 2006. World Energy Outlook, Paris. International Energy Agency. 2007. World Energy Outlook, Paris. Jones, C. and Kaul, G. 1996. Oil and the stock markets, Journal of Finance, 51, 463-91. Jordà, O. 2005. Estimation and inference of impulse responses by local projections, American Economic Review, 95, 161–182. Kaneko, T. and Lee, B.S. 1995. Relative importance of economic factors in the US and Japanese stock markets, Journal of the Japanese and International Economies, 9, 290-307. Kapetanios, G., Pagan, A. and Scott, A. 2007. Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling, Journal of Econometrics, 136, 565–594. Kilian, L., 2008a. Exogenous oil supply shocks: How big are they and how much do they matter for the US economy? Review of Economics and Statistics, 90, 216–240. Kilian, L., 2008b. A comparison of the effects of exogenous oil supply shocks on output and inflation in the G-7 countries, Journal of the European Economic Association, 6, 78-121. Kilian, L., 2009. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market, American Economic Review, 99, 1053-1069. Kilian, L. and Vigfusson, R.J. 2009. Pitfalls in estimating asymmetric effects of energy price shocks, Manuscript, University of Michigan, available at http://www-personal.umich.edu/~lkilian/kv14apr09.pdf Krugman, P. 1983a. Oil and the dollar: in Bhandari, J.S. and Putnam, B.H. (eds) Economic Interdependence and Flexible Exchange Rates, Cambridge University Press, Cambridge. Krugman, P. 1983b. Oil shocks and exchange rate dynamics, in Frankel, J.A. (editor) Exchange Rates and International macroeconomics, University of Chicago Press, Chicago. Lin, J-L. and Tsay, R.S. 1996. Co-integration constraint and forecasting: An empirical examination, Journal of Applied Econometrics, 11, 519-538. McCauley, R.N. and McGuire, P. 2009. Dollar appreciation in 2008: Safe haven, carry trades, dollar shortage and overhedging, BIS Quarterly Review, December, 85-93. Melvin, M. and Taylor, M.P. 2009. The crisis in the foreign exchange market, CESifo Working Paper Series No. 2707, Munich. Ng, S. and Perron,P. 2001. Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519-1554. Papapetrou, E. 2001. Oil price shocks, stock markets, economic activity and employment in Greece, Energy Economics, 23, 511-532. Park, J. and Ratti, R.A. 2008. Oil price shocks and stock markets in the US and 13 European countries, Energy Economics, 30, 2587–2608. Pesavento, E. and Rossi, B. 2006. Small sample confidence intervals for multivariate IRFs at long horizons, Journal of Applied Econometrics, 21, 1135–1155. Phillips, P.C.B. 1998. Impulse response and forecast error variance asymptotics in nonstationary VAR’s, Journal of Econometrics, 83, 21–56. Pindyck, R.S. and Rotemberg. J. 1991. The excess co-movement of commodity ptices, Economic Journal, 100, 1173-1189. Sadorsky, P. 1999. Oil price shocks and stock market activity, Energy Economics, 21, 449-469. Sadorsky, P. 2000. The empirical relationship between energy futures prices and exchange rates, Energy Economics, 22, 253-266. Sadorsky, P. 2001. Risk factors in stock returns of Canadian oil and gas companies, Energy Economics, 23, 17-28. Sims, E. 2009. Non-inveritibilities and structural VARs, Manuscript, University of Notre Dame, available at http://www.nd.edu/~esims1/ Sims, C.A.; Stock, J.H. and Watson, M.W. 1990. Inference in linear time series models with some unit roots, Econometrica, 58, 113-144. Zhang,Y-F., Fan,Y., Tsai,H-T. and Wei,Y-M. 2008. Spillover effect of US dollar exchange rate on oil prices, Journal of Policy Modelling, 30, 973-991.en_NZ
otago.relation.number1014en_NZ
 Find in your library

Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record