Effet du ROP, RIP, et R sur RSP: Symétrie ou Asymétrie? Cas des pays exportateurs et importateurs de pétrole.

NEIFAR, MALIKA and HarzAllah, AMIRA (2024): Effet du ROP, RIP, et R sur RSP: Symétrie ou Asymétrie? Cas des pays exportateurs et importateurs de pétrole.

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.

• Item Type: MPRA Paper
• English Title: ROP, RIP, and R effects on RSP, symmetric or asymmetric? case of oil exporter and importer countries
• Language: French
• Keywords: NARDL; Asymmetry ; Symmetry ; Oil exporting countries ; Oil importing countries
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q43 - Energy and the Macroeconomy

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