- Fiscaoeconomia
- Vol: 2 Issue: 2
- 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
Authors : Onur Polat
Pages : 15-36
Doi:10.25295/fsecon.2018.02.002
View : 10 | Download : 4
Publication Date : 2018-05-31
Article Type : Research
Abstract :This study examines linkages between daily oıl 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.Keywords : Oil Price Shocks, Financial Stress Index, SVAR, DCC-GARCH