Impact of Oil and Agricultural Shocks on the Financial Markets of Emerging Market Economies

被引:4
|
作者
Attilio, Luccas Assis [1 ,2 ]
机构
[1] Univ Fed Ouro Preto, Mariana, Brazil
[2] Univ Fed Ouro Preto, Rua Catete 166, Mariana, MG, Brazil
关键词
Oil price; stock market; exchange rate; interest rate; emerging market economies; fluctuations; agricultural prices; PRICE SHOCKS; MONETARY-POLICY; STOCK-PRICES; COMMODITY TERMS; INTEREST-RATES; EXCHANGE-RATE; US; VOLATILITY; COUNTRIES; CHINA;
D O I
10.1080/10168737.2023.2207086
中图分类号
F [经济];
学科分类号
02 ;
摘要
We assess oil and agricultural price shocks in the financial markets of six EMEs (Brazil, Chile, Mexico, India, South Africa, and Turkey) using the GVAR. Positive oil price shocks provoke falls in all stock markets, devaluations in four domestic currencies, and tight monetary policies in two economies. The variance decomposition indicated that this shock is more influential in the stock markets, followed by the exchange rates. Compared to the oil price, shocks in agricultural prices caused appreciations in all domestic currencies. This shock is pervasive in all exchange markets in the first months, losing importance over time. The distinct responses to different commodities shocks point out that the kind of shock is relevant to comprehend its influence on EMEs. We detected relevant heterogeneities concerning the spreading of commodities shocks on domestic financial markets, especially in South Africa.
引用
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页码:270 / 293
页数:24
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