当前位置: X-MOL 学术Bulletin of Economic Research › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains
Bulletin of Economic Research ( IF 0.888 ) Pub Date : 2020-08-13 , DOI: 10.1111/boer.12258
Bahram Adrangi 1 , Arjun Chatrath 1 , Joseph Macri 2 , Kambiz Raffiee 3
Affiliation  

We examine the impact of crude oil price fluctuations on equity markets for four emerging Latin American markets, namely, Argentina, Brazil, Chile, and Mexico. We adopt an approach that examines this relationship in both a time and frequency domains. The co-spectral analysis confirmed that most of the observable coherence between crude oil and equity returns occurred at relatively short frequencies. The structural vector autoregression (SVAR) results suggest that shocks to crude oil price directed all equity markets into negative territory, though they typically reversed course after approximately twenty-four months. Although the decomposition of the prediction error variance showed that crude oil prices were weakly exogenous in the SVAR model, in most cases Brazil's equity market may have been responsible for the higher percentage of variations in the remaining indices. The nonlinear Granger causality tests reveal, with the exception of the Merval index, the equity markets under study were responsive to crude oil price shocks.

中文翻译:

原油价格冲击和拉丁美洲主要股票市场的动态:时域和频域研究

我们研究了原油价格波动对四个新兴拉丁美洲市场的股票市场的影响,即阿根廷、巴西、智利和墨西哥。我们采用了一种在时域和频域中检查这种关系的方法。同谱分析证实,原油和股票回报之间大部分可观察到的一致性发生在相对较短的频率上。结构向量自回归 (SVAR) 结果表明,原油价格的冲击将所有股票市场引导至负值区域,尽管它们通常在大约 24 个月后逆转。尽管预测误差方差的分解表明原油价格在 SVAR 模型中具有弱外生性,但在大多数情况下,巴西的 股票市场可能是造成其余指数变化百分比较高的原因。非线性格兰杰因果检验表明,除 Merval 指数外,所研究的股票市场对原油价格冲击有反应。
更新日期:2020-08-13
down
wechat
bug