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Oil Prices, Exchange Rates and Emerging Stock Markets

Author

Listed:
  • Syed Abul Basher

    (Department of Research & Monetary Policy Qatar Central Bank)

  • Alfred Haug

    (Department of Economics, University of Otago)

  • Perry Sadorsky

    (Schulich School of Business, York University)

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.

Suggested Citation

  • Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2010. "Oil Prices, Exchange Rates and Emerging Stock Markets," Working Papers 1014, University of Otago, Department of Economics, revised Sep 2010.
    • Handle: RePEc:otg:wpaper:1014
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    More about this item

    Keywords

    Emerging markets; oil prices; exchange rates;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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