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

Autor:	Onur Polat
Jazyk:	angličtina
Rok vydání:	2018
Předmět:	Index (economics) İşletme West Texas Intermediate Oil Price Shocks Financial Stress Index SVAR DCC-GARCH Financial stress Econometrics Economics General Medicine Oil price health care economics and organizations Vector autoregression Management
Zdroj:	Volume: 2, Issue: 2 15-36 Fiscaoeconomia
ISSN:	2564-7504
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8bd54102d349f9b4f18020e44c82fccd https://dergipark.org.tr/tr/pub/fsecon/issue/37017/401016 Zobrazit plný text záznamu