2018
DOI: 10.1002/ijfe.1686
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Abstract: This paper investigates the interrelationship between Brent oil price and exchange rate in 10 emerging markets of East Europe, Asia, Africa, and South America. For computational purpose, we apply two innovative methodologies—wavelet coherence and phase difference that are capable of observing different frequency scales. Wavelet coherence results suggest that strong coherence is present during world financial crisis (WFC) in the oil‐exporting countries and in majority of the oil‐importing countries. Phase arrow… Show more

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Cited by 15 publications
(3 citation statements)
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References 37 publications
(47 reference statements)
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“…The findings indicate that the underlying relationship between oil prices and stock returns get stronger in a period of high volatility. More recently, Živkov, Njegić, and Balaban (2019) examine the transmission mechanism of oil price shocks towards exchange rates, using oil prices and exchange rate data from 10 emerging market economies of Asia, Africa, East Europe and South America. They find strong ‘coherence’ between Brent oil prices and exchange rates during the financial crisis period in both oil‐exporting countries and in many of the major oil‐importing countries.…”
Section: Literature Reviewmentioning
confidence: 99%
“…The findings indicate that the underlying relationship between oil prices and stock returns get stronger in a period of high volatility. More recently, Živkov, Njegić, and Balaban (2019) examine the transmission mechanism of oil price shocks towards exchange rates, using oil prices and exchange rate data from 10 emerging market economies of Asia, Africa, East Europe and South America. They find strong ‘coherence’ between Brent oil prices and exchange rates during the financial crisis period in both oil‐exporting countries and in many of the major oil‐importing countries.…”
Section: Literature Reviewmentioning
confidence: 99%
“…They concluded that lower‐upper and upper‐lower tail dependence of the US dollar and oil are significantly negative. Živkov, Njegić, and Balaban (2019) used wavelet coherence and phase difference methodologies to study the correlation between oil and exchange rate in 10 major countries.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Nevertheless, it should be noted that the impact on the financial markets can also be caused by interest rates. Zizkov et al (2019) studied the interrelationship between oil and exchange rates in the major emerging markets of Eastern Europe, Asia, Arica and South America. By using phase arrows and phase differences, the examiners revealed a negative coherence between oil and exchange rates in oil importing countries during the financial crisis of 2008.…”
Section: Theoretical Backgroundmentioning
confidence: 99%