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Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries

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  • Chkir, Imed
  • Guesmi, Khaled
  • Brayek, Angham Ben
  • Naoui, Kamel

Abstract

This article investigates the multivariate dependence between oil prices, equity markets, and exchange rates in certain oil-importing and oil-exporting countries by applying the vine copulas approach which offers a greater flexibility and permits the modelling of complex dependency patterns for high-dimensional distributions. Our results show that the dependence between oil and exchange rates is significantly negative during different periods of analysis, except for the British Pound and Japanese Yen exchange rates. This result indicates that oil may serve as a weak hedge against exchanges rates.

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  • Chkir, Imed & Guesmi, Khaled & Brayek, Angham Ben & Naoui, Kamel, 2020. "Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300659
    DOI: 10.1016/j.ribaf.2020.101274
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