Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach

Arbeitspapier

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron (2003) tests, and a state-space model with time-varying parameters is then estimated. The main findings can be summarised as follows. Both the sub-samples and the time-varying estimates indicate a greater role for exchange rate returns. Oil prices have a positive and significant impact on the energy sector in all countries except India; a negative and significant one on the financial sector of Brazil, Russia, India, and South Africa; no effect on the transportation sector of Brazil, China, and South Africa, a negative one on those of India and Turkey, and a positive one in the case of Russia. The vulnerability of energy-dependent sectors to global fluctuations implies that appropriate energy policies should be adopted to reduce risk.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 9322

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Econometric Modeling: General ; Financial Econometrics
• Subject: oil prices ; exchange rates ; sectoral stock returns ; structural breaks ; time-varying parameters

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Caporale, Guglielmo Maria ; Catik, Abdurrahman Nazif ; Kisla, Gül Serife Huyugüzel ; Helmi, Mohamad Husam ; Akdeniz, Coskun
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2021

Further information

• Handle: http://hdl.handle.net/10419/245503
• Last update: 10.03.2025, 11:43 AM CET