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Effet du ROP, RIP, et R sur RSP: Symétrie ou Asymétrie? Cas des pays exportateurs et importateurs de pétrole
[ROP, RIP, and R effects on RSP, symmetric or asymmetric? case of oil exporter and importer countries]

Author

Listed:
  • NEIFAR, MALIKA
  • HarzAllah, AMIRA

Abstract

This paper seeks to explore the impact of oil price shocks, real industrial production and interest rate on stock prices for six oil exporting countries and five oil importing countries using nonlinear autoregressive distributed lags (NARDL)model using monthly data for the period 1993 : 09−2017 : 01. Empirical results show strong evidence of asymmetry in the impact of positive and negative changes in oil prices, industrial production, and short term interest rate on the stock market price. We find that the reaction of real stock prices to an oil shock can vary considerably depending on whether the country is a net importer or net exporter of oil.

Suggested Citation

  • NEIFAR, MALIKA & HarzAllah, AMIRA, 2024. "Effet du ROP, RIP, et R sur RSP: Symétrie ou Asymétrie? Cas des pays exportateurs et importateurs de pétrole [ROP, RIP, and R effects on RSP, symmetric or asymmetric? case of oil exporter and impor," MPRA Paper 120938, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:120938
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    More about this item

    Keywords

    NARDL; Asymmetry ; Symmetry ; Oil exporting countries ; Oil importing countries;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G1 - Financial Economics - - General Financial Markets
    • 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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