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Topics in Middle Eastern and African Economies Proceedings of Middle East Economic Association
We analyse the relationship between the oil prices, asset prices, and foreign exchange rates in the selected GCC economies, namely United Arab Emirates (UAE), Qatar, Kuwait and Saudi Arabia. Using a time-varying parameter VAR we study the coherence, conditional volatility and impulse responses of the exchange rates and stock markets to oil price shocks over specific periods and policy regimes. The model is identified using sign-restrictions imposed on the impulse responses over contemporaneousfatcat:pw2p5tci2jhafh3r3afrkjixyq