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Oral Communications<br />
CO4<br />
Wednesday, September 4th<br />
18:00<br />
The non-linear relationship between oil prices<br />
and stock prices: Evidence from oil-importing<br />
and oil-exporting countries<br />
Diego Pitta de Jesus<br />
PPGE/UFPB<br />
Bruno Felipe Lenin Souza Bezerra<br />
Cássio da Nóbrega Besarria<br />
This paper investigates the long-run dynamics between stock prices and oil prices over the period<br />
from 13 March 2001 to 25 August 2017 using two approaches: the first includes the structural<br />
breaks in the relationship between the variables in a Dynamic Ordinary Least Squares (DOLS). The<br />
other approach verifies the existence of cointegration and asymmetry using a Markov-Switching<br />
model. The main results indicate that when we use non-linear approaches, we can find cointegration<br />
and asymmetry. For oil-exporting countries was found a positive long-term relationship between<br />
oil prices and stock prices, in this case, the wealth effect prevailing for these countries. For<br />
oil-importing countries that are developed economies, a negative signal was found, confirming that<br />
in these economies the business cost channel prevails. But the oil-importing countries that are<br />
emerging economies have found a positive sign in the long-term relationship, probably due to the<br />
economic cycle.<br />
Keywords: Crude oil; Stock markets; Cointegration<br />
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