Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries
Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries / Anna Creti, Zied Ftiti & Khaled Guesmi. Paris : Ipag business school, 2014, 26 p. (working paper ; 2014-435)
Authors’s abstract :
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), and developed by Ftiti (2010) that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and long-run dependence. We find that interdependence between the oil price and the stock market is higher in exporters’ markets than the importers’ ones.