The Interaction Between Oil Price and Financial Stress: Evidence from the U.S. Data

Fiscaoeconomia

Onur POLAT¹ 

关键词: Oil Price Shocks;    Financial Stress Index;    SVAR;    DCC-GARCH;   

DOI  :  10.25295/fsecon.2018.02.002

学科分类：社会科学、人文和艺术（综合）

来源: Fsecon

【 摘 要 】

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.

【 授权许可】

CC BY-NC-ND