کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063858 1476703 2017 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of crude oil prices on financial market indicators: copula approach
ترجمه فارسی عنوان
تاثیر قیمت نفت خام بر شاخص های بازار مالی: رویکرد کوپولا
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی


- Modeling the pattern of crude oil prices and its interaction with market indices and foreign exchange rates.
- Comparison of market behavior of oil dependent and exporter countries with respect to oil price fluctuations.
- Comparison of developed and emerging economies' financial market behavior against oil price changes.
- Comparison of conventional dependence and copula measures under different distribution assumptions.

Oil price changes have varying impacts on the financial indicators of global markets and economies. This study aims to explore the dependence structure between crude oil prices and stock market indices, as well as the exchange rates in a number of economies categorized with respect to their status as developing/emerging markets, and oil importer/exporter countries. Dependence structures in this study are evaluated in considerable depth using copula models. The broad time period covered allows the investigation of the effect of global financial crisis on the mentioned dependence structure. An additional feature of this study is the inclusion of 1 to 30-day analysis to capture the variation of dependence on duration change. To serve these aims, as well as ARIMA and GARCH models, various copula measures are used to illustrate the level of the association. Additionally, a special focus on the Turkish case is given to illustrate its sensitivity to oil prices. We find that exchange rates and stock indices of most oil exporter countries show higher oil price dependency, whereas, emerging oil importer markets are less vulnerable to price fluctuations. Considerable impacts were found for the global crisis and the continuing recent sharp decrease in oil prices.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 61, January 2017, Pages 162-173
نویسندگان
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