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

Year 2018, , 15 - 36, 31.05.2018

Onur Polat

https://doi.org/10.25295/fsecon.2018.02.002

Cited By: 8

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

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