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The Dynamic Relation between the Oil Price Volatility, Stock Market, Exchange and Interest Rate in GCC Countries: Panel Vector Autoregressive (PVAR) Model

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  • Mouna Aloui
  • Jarboui Anis

Abstract

Purpose: This article examines the relationship between oil price volatility, exchange rate, interest rate, and the stock market in the GCC countries. Design/Methodology/Approach: We used an annual data set from January 2006 to December 2015. Then, we explore the feedback between this relation by one-step generalized method of moments (GMM) system estimator and panel vector autoregressive (PVAR) model. Findings: We find that the increased of the interest rates leads to increased oil price, which implies that this result is completely normal since the low-interest rates, decrease in oil prices. Practical Implications: The study provides a significant contribution as its findings can give policymakers, regulators and investor. Moreover, this study can help import and export oil. In fact, should be reformed energy taxation to encourage households and businesses to protect themselves against future oil price increases and facilitate the transition of energy. Originality/Value: A harmonized action at the European level would make the reform of energy taxation a virtuous tool to reduce public deficits.

Suggested Citation

  • Mouna Aloui & Jarboui Anis, 2023. "The Dynamic Relation between the Oil Price Volatility, Stock Market, Exchange and Interest Rate in GCC Countries: Panel Vector Autoregressive (PVAR) Model," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 114-128.
    • Handle: RePEc:ers:ijebaa:v:xi:y:2023:i:3:p:114-128
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    More about this item

    Keywords

    Oil price volatility; exchange rate; interest rate; stock market; GCC countries.;
    All these keywords.

    JEL classification:

    • Y20 - Miscellaneous Categories - - Introductions and Prefaces - - - Introductions and Prefaces
    • O15 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Economic Development: Human Resources; Human Development; Income Distribution; Migration
    • A14 - General Economics and Teaching - - General Economics - - - Sociology of Economics

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