Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico

By Shelly Singhal, Sangita Choudhary, Pratap Chandra Biswal. Resources policy, 2019

248 citations recorded by the source corpus.

Abstract This study investigates the dynamic relationship among international oil prices, international gold prices, exchange rate and stock market index in Mexico. Mexico is a major oil and gold exporting country and at the same time a major importer of petroleum products. ARDL Bound testing cointegration approach has been used on daily data ranging from January 2006 to April 2018. Findings of the study suggest that international gold prices positively affect the stock price of Mexico while oil price affects them negatively. Oil prices negatively influence exchange rate in the long and gold price do not have any significant impact on the exchange rate. The finding of this research have important implications and also provides some signals to monetary and fiscal policies, considering the pressure crude oil prices create on the stock markets and exchange rates.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/72480600e5654c3d711e5ea00f75bd1746b9950e

Citations in the corpus

• Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021, unknown): “…et al., 2019; Beckmann & Czudaj, 2013), currencies (Beckmann & Czudaj, 2013; Kristjanpoller & Minutolo, 2016), metals (Bha‑ tia et al., 2018; Schweikert, 2018), crude oil (Elie et al., 2019; Kanjilal & Ghosh, 2017; Sephton & Mann, 2018) and exchange rates (Akbar et al., 2019; Singhal et al., 2019).”