  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.
