英文标题：
《A study of co-movements between oil price, stock index and exchange rate
under a cross-bicorrelation perspective: the case of Mexico》
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作者：
Semei Coronado and Omar Rojas
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最新提交年份：
2016
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英文摘要：
In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf. (Patterson & Ashley, 2000) and one multivariate test, in order to determine the dynamic co-movement exerted from the oil prices to the stock and exchange rate markets. Such co-movement and time windows are exposed using the Brooks & Hinich (1999) cross- bicorrelation statistical test. The effects of oil spills on other markets have been studied from different angles and on several financial assets. In this study, we focus our attention on the detection, not only of the correlations amongst markets but on the epochs in which such nonlinear dependence might occur. This is important in order to understand better, how the markets that drive the economy interact with each other. We hope to contribute to the literature with such findings, filling a gap in the emerging markets context, in particular, for the Mexican case.
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中文摘要：
在本章中，我们研究了墨西哥原油价格、墨西哥股票市场指数和美元/墨西哥比索汇率之间的非线性协动，从1994年至今的样本期。我们使用了一系列非线性测试，参见（Patterson&Ashley，2000）和一个多变量测试，以确定从石油价格到股票和汇率市场的动态协同运动。使用Brooks&Hinich（1999）交叉双相关统计检验揭示了这种协同运动和时间窗。石油泄漏对其他市场的影响已经从不同的角度和几个金融资产进行了研究。在这项研究中，我们不仅关注市场之间的相关性，还关注这种非线性依赖可能发生的时代。为了更好地理解推动经济的市场是如何相互作用的，这一点很重要。我们希望通过这些发现为文献做出贡献，填补新兴市场背景下的空白，尤其是墨西哥案例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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