The Impact of Oil Price Fluctuations on Economic Activity: Application to MENA Countries.

Summary The influence of oil price fluctuations has been the subject of numerous empirical studies, yet there is no consensus on the transmission mechanisms in the economy. The objective of this thesis is to identify the impact of oil price fluctuations on the real economy and stock markets of MENA countries. To this end, we first implement causality and cointegration tests to analyze the interactions between energy prices and macroeconomic variables in the short and long run respectively. Moreover, by dissociating the effects of oil price increases and decreases, we test the presence of asymmetric transmission of shocks on the economic variables of the region's exporting and importing countries. Second, we analyze the interdependencies between the stock market and the oil market through the estimation of a VAR(1)-GARCH(1,1) model with constant conditional correlation that takes into account the effects of shock transmission on the returns and volatilities of the two markets. We conduct both an aggregate and a sectoral analysis to detect the impact of energy price changes on national stock market indices and identify the most vulnerable economic sectors. Finally, the analysis of correlations between the stock market and the oil market provides useful information for portfolio diversification in the presence of risk related to oil price variations.