96
Views
1
CrossRef citations to date
0
Altmetric
Research Article

Impact of Oil and Agricultural Shocks on the Financial Markets of Emerging Market Economies

Pages 270-293 | Received 19 Dec 2022, Accepted 21 Apr 2023, Published online: 27 Apr 2023
 

Abstract

We assess oil and agricultural price shocks in the financial markets of six EMEs (Brazil, Chile, Mexico, India, South Africa, and Turkey) using the GVAR. Positive oil price shocks provoke falls in all stock markets, devaluations in four domestic currencies, and tight monetary policies in two economies. The variance decomposition indicated that this shock is more influential in the stock markets, followed by the exchange rates. Compared to the oil price, shocks in agricultural prices caused appreciations in all domestic currencies. This shock is pervasive in all exchange markets in the first months, losing importance over time. The distinct responses to different commodities shocks point out that the kind of shock is relevant to comprehend its influence on EMEs. We detected relevant heterogeneities concerning the spreading of commodities shocks on domestic financial markets, especially in South Africa.

JEL Code:

Disclosure statement

No potential conflict of interest was reported by the author(s).

Correction Statement

This article has been corrected with minor changes. These changes do not impact the academic content of the article.

Notes

1 We considered that an oil shock (wti) initially affects the expectations, cli. Subsequently, financial markets react, r and q. These movements impact domestic prices, cpi, and finally production, y. Thus, our ordering is: (wtiit,cliit,rit,qit,cpiit,yit).

Additional information

Notes on contributors

Luccas Assis Attílio

Luccas Assis Attílio, Professor of Economics, Department of Economics, Federal University of Ouro Preto, Mariana-MG, Brazil.

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 53.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 222.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.