The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data
The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data
Author(s): Onur PolatSubject(s): Supranational / Global Economy, Energy and Environmental Studies, Evaluation research, Financial Markets
Published by: Ahmet Arif Eren
Keywords: Oil Price Shocks; Financial Stress Index; SVAR; DCC-GARCH;
Summary/Abstract: This study examines linkages between daily oil price dynamics and financial stress. We analyze the dynamic interaction mechanism between daily WTI crude oil prices and financial stress index of the United States developed by Polat (2017) with Structural VAR model in 01/10/1993-11/18/2016 period. The empirical results of the study suggest that there exist a significant relationship between oil price dynamics and financial stress and the relationship is dominated by the short-run.
Journal: Fiscaoeconomia
- Issue Year: 2/2018
- Issue No: 2
- Page Range: 15-36
- Page Count: 22
- Language: English