PETROL FİYAT ŞOKLARI VE FİNANSAL STRES ARASINDAKİ ZAMAN-DEĞİŞİMLİ İLİŞKİ: AB BÖLGESI İÇİN TVP-VAR ANALİZİ

Onur Polat

doi:10.14784/marufacd.976465

PETROL FİYAT ŞOKLARI VE FİNANSAL STRES ARASINDAKİ ZAMAN-DEĞİŞİMLİ İLİŞKİ: AB BÖLGESI İÇİN TVP-VAR ANALİZİ

Öz

Bu çalışmada, petrol fiyat şokları ile AB bölgesi finansal stres endeksi arasındaki dinamik aktarım mekanizması TVP-VAR modeli uygulanarak incelenmektedir. Bu bağlamda, çalışmanın veri kümesi, 2000:09-2018:06 dönemi için aylık spot WTI ham-petrol fiyatları, küresel petrol üretimi, Kilian Endeksi ve Euro bölgesi için finansal stres endeksini (CISS) içermektedir. Çalışmanın ampirik sonuçları pozitif petrol fiyat şoklarının AB bölgesi finansal koşullarını kötüleştirdğini göstermektedir. Ek olarak, TVP-VAR modeli, küresel petrol piyasasından AB bölgesi finansal koşullarına doğru olan yapısal şokların dinamik yapısını tutarlı bir şekilde yakalamaktadır.

Anahtar Kelimeler

References

ALOUI, Chaker, DUC Khuong Nguyen, ve HASSEN Njeh (2012). "Assessing the impacts of oil price fluctuations on stock returns in emerging markets". Economic Modelling, 29(6), 2686-2695.
ALOUI, Riadh; AÏSSA, Mohamed Safouane Ben ve NGUYEN, Duc Khuong (2013) “Conditional dependence structure between oil prices and exchange rates: a copula-GARCH approach”. Journal of International Money and Finance, 32: 719-738.
ÁLVAREZ, J. Louiz, HURTADO, Samuel, ve Sánchez, Isabel, & Thomas, Carlos (2011). “The impact of oil price changes on Spanish and euro area consumer price inflation”. Economic modelling, 28(1-2), 422-431.
ANTONAKAKIS, Nikolaos, CHATZIANTONIOU, Ioannis, ve FILIS, George (2014) “Dynamic spillovers of oil price shocks and economic policy uncertainty”. Energy Economics, 44, 433-447.
AROURI, Mohamed El Hedi, ve NGUYEN, Duc Khuong (2010) “Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade”. Energy Policy, 38.8: 4528-4539.
BARSKY, Robert B., ve KILIAN Lutz (2004) "Oil and the Macroeconomy since the 1970s." Journal of Economic Perspectives 184, 115-134.
BASHER, Syed A., ve SADORSKY, Perry. “Oil price risk and emerging stock markets”. Global finance journal, 17(2), 224-251.
BASNET, Hem C., ve UPADHYAYA, Kamal P (2015) “Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries”. Applied Economics, 47(29), 3078-3091.

BASTIANIN, Andrea, CONTI, Francesca, ve MANERA, Matteo (2016) “The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries”. Energy Policy, 98, 160-169.
BERNANKE, S. Ben, GERTLER, Mark, ve WATSON, Mark (1997) ”Systematic monetary policy and the effects of oil price shocks”. Brookings Paper on Economic Activity, 1, 91–157.
BERUMENT, Hakan, ve TAŞÇI, Hakan (2002). “Inflationary effect of crude oil prices in Turkey”. Physica A: Statistical Mechanics and its Applications, 316 (1-4), 568-580.
BLANCHARD, Olivier J., ve GALI, Jordi (2007). “The Macroeconomic Effects of Oil Shocks: Why are the 2000s so different from the 1970s?” (No. w13368). National Bureau of Economic Research.
BROWN, Stephan, P., A., ve YUCEL, Mine K. (1999). “Oil prices and US aggregate economic activity: a question of neutrality”. Economic & Financial Review, 16-23.
BRUNO, Michael, ve SACHS, Jeffrey, D. (1985). Economics of worldwide stagflation. National Bureau of Economic Research, Inc.
BÜYÜKKARA, Göknur, ENGINAR, Onur, ve TEMIZ, Hüseyin (2020). Volatility Spillovers Between Oil and Stock Market Returns in G7 Countries: A VAR-DCC-GARCH Model. İçinde Regulations in the Energy Industry (pp. 169-186). Springer, Cham.
CHEN, Nai-Fu, ROLL, Richard, ve ROSS, Stephen, A. (1986). “Economic forces and the stock market”. Journal of business, 383-403.
CHEN, Wang, HAMORI, Shigeyuki, ve KINKYO, Takuji (2014). “Macroeconomic impacts of oil prices and underlying financial shocks”. Journal of International Financial Markets, Institutions and Money, 29, 1-12.
CINER, Cetin (2001). “Energy shocks and financial markets: nonlinear linkages”. Studies in Nonlinear Dynamics & Econometrics, 5(3), 203-212.
CUESTAS, Juan Carlos, ve GIL-ALANA, Luis A (2018). “Oil price shocks and unemployment in Central and Eastern Europe”. Economic Systems, 42(1), 164-173.
CUÑADO, Juncal, DE GRACIA, ve Fernando Pérez (2003) “Do oil price shocks matter? Evidence for some European countries”. Energy economics, 25(2), 137-154.
CUNADO, Juncal, ve DE GRACIA, Fernando Perez (2014). “Oil price shocks and stock market returns: Evidence for some European countries”. Energy Economics, 42, 365-377.
DARBY, R. Michael, 1982. “The price of oil and world inflation and recession”. American Economic Review, 72(4), 738–751.
DEL NEGRO, Marco, ve PRIMICERI, Giorgio E. (2015). “Time varying structural vector autoregressions and monetary policy: a corrigendum”. The review of economic studies, 82(4), 1342-1345.
DU, Limin, YANAN, He, ve WEI, Chu (2010). “The relationship between oil price shocks and China’s macro-economy: An empirical analysis”. Energy policy, 38(8), 4142-4151.
ENZLER, Jared L. ve PIERCE, James, L. (1974). “The effects of inflationary shocks”. Brookings Papers on Economic Activity, 1, 13-54.
EVGENIDIS, A. (2018). “Do all oil price shocks have the same impact? Evidence from the euro area”. Finance Research Letters, 26, 150-155.
FAFF, Robert W., ve BRAILSFORD, Timothy J. (1999) “Oil price risk and the Australian stock market”. Journal of Energy Finance & Development, 4(1), 69-87.
FERDERER, J., Peter (1997). “Oil price volatility and the macroeconomy”. Journal of macroeconomics, 18(1), 1-26.
FILIS, George, DEGIANNAKIS, Stavros, ve FLOROS Christos (2011). “Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries”. International Review of Financial Analysis 20(3), 152-164.
FILIPPIDIS, Michail, FILIS, George, ve KIZYS, Renatas (2020). “Oil price shocks and EMU sovereign yield spreads”. Energy Economics, 104656.
GAO, Liping, KIM, Hyeongwoo, ve SABA, Richard (2014). “How do oil price shocks affect consumer prices?” Energy Economics, 45, 313-323.
GHOSH, Sajal, ve KANJILAL, Kakali (2016). “Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests”. Energy Economics, 53, 111-117.
GISSER, Micha, ve GOODWIN, Thomas H. (1986). “Crude oil and the macroeconomy: Tests of some popular notions: Note”. Journal of Money, Credit and Banking, 18(1), 95-103.
GUO, Hui, ve KLIESEN, Kevin L. (2005). “Oil price volatility and US macroeconomic activity”. Review-Federal Reserve Bank of Saint Louis, 87(6), 669-684.
HAMILTON, James D. (1983). “Oil and the macroeconomy since World War II”. Journal of political economy, 91(2), 228-248.
HAMILTON, James D. (1996). “This is what happened to the oil price-macroeconomy relationship”. Journal of Monetary Economics, 38(2), 215-220.
HAMILTON, James D. (2011). Historical oil shocks (No. w16790). National Bureau of Economic Research. Hammoudeh, Shawkat, ve Aleisa, Eisa (2004). “Dynamic relationships among GCC stock markets and
NYMEX oil futures”. Contemporary Economic Policy, 22(2).
HAUG, Alfred A., ve BASHER, Syed Abul (2019) “Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach”. Applied Economics, 51(48), 5282-5296.
HOLLO, Daniel, KREMER, ve Manfred, LO DUCA (2012) Marco CISS-a composite indicator of systemic stress in the financial system. Frankfurt am Main: ECB Working Paper No. 1426.
HOOKER, A. Mark (1996). “What happened to the oil price-macroeconomy relationship?” Journal of Monetary Economics, 38 (2) 195–213
HUANG, Roger D., MASULIS, Ronald W., ve STOLL, Hans R. (1996). “Energy shocks and financial markets”. The Journal of Futures Markets, 16(1), 1-27.
HUANG, Ying, ve GUO, Feng (2007). “The role of oil price shocks on China’s real exchange rate”. China Economic Review, 18, 403– 416.
JIMÉNEZ-RODRÍGUEZ, Rebeca, ve SÁNCHEZ, Marcelo (2005). “Oil price shocks and real GDP growth: empirical evidence for some OECD countries”. Applied economics, 37(2), 201-228.
JONES, Charles M., & KAUL, Gautom (1996). “Oil and the stock markets”. The Journal of Finance, 51(2), 463-491.
KANG, Wensheng., & RATTI, Ronald A. (2013). “Structural oil price shocks and policy uncertainty”. Economic Modelling, 35, 314-319.
KANG, Wensheng, RATTI, Ronald A., ve YOON, Kyung Hwan. (2015a). “The impact of oil price shocks on the stock market return and volatility relationship.” Journal of International Financial Markets, Institutions and Money, 34, 41-54.
KANG, Wensheng, RATTI, Ronald A., ve YOON, Kyung Hwan (2015b). “Time-varying effect of oil market shocks on the stock market”. Journal of Banking & Finance, 61, S150-S163.
KILIAN, Lutz (2009). “Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market”. American Economic Review, 99(3), 1053-69.
KILIAN, Lutz, ve Vigfusson, Robert J. (2017). The role of oil price shocks in causing US recessions. Journal of Money, Credit and Banking, 49(8), 1747-1776.
KOCAASLAN, Ozge Kandemir (2019). Oil price uncertainty and unemployment. Energy Economics, 81, 577-583.
KOOP, Gary, LEON-GONZALEZ, Roberto, ve STRACHAN, Rodney W. (2009) “On the evolution of the monetary policy transmission mechanism”. Journal of Economic Dynamics and Control, 33(4), 997-1017.
LEE, Byung Rhae, LEE, Kiseok, ve RATTI, Ronald A. (2001) “Monetary policy, oil price shocks, and the Japanese economy”. Japan and the World Economy, 13(3) 321-349.
LEE, Kiseok, Ni, SHAWN, ve Ratti, Ronald A. (1995). “Oil shocks and the macroeconomy: the role of price variability”. The Energy Journal, 39-56.
LEDUC, Sylvain, ve SILL, Keith (2004). “A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns”. Journal of Monetary Economics, 51(4), 781-808.
LOUNGANI, Prakash (1986). “Oil price shocks and the dispersion hypothesis”. The Review of Economics and Statistics, 536-539.
MACDONALD, R., SOGIAKAS, V. ve TSOPANAKIS, A. (2018). “Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index”. Journal of International Financial Markets, Institutions and Money, 52, 17-36.
MORK, Knut Anton (1989). “Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results”. Journal of political Economy, 97(3), 740-744.
MORK, Knut Anton, OLSEN, Oystein, ve MYSEN, Hans Terje (1994) “Macroeconomic responses to oil price increases and decreases in seven OECD countries”. The Energy Journal, 1994, 15.4.
NAZLIOGLU, Saban, SOYTAS, Ugur ve GUPTA, Rangan (2015). “Oil prices and financial stress: A volatility spillover analysis”. Energy Policy, 82, 278-288.
PAPAPETROU, Evangelia (2001). “Oil price shocks, stock market, economic activity and employment in Greece”. Energy economics, 23(5), 511-532.
PAPAPETROU, Evangelia (2013). “Oil prices and economic activity in Greece”. Economic Change and Restructuring, 46(4), 385-397.
PARK, Jungwook, RATTI, Ronald A. (2008) “Oil price shocks and stock markets in the US and 13 European countries”. Energy economics, 30(5), 2587-2608.
POLAT, Onur (2020). “Time-Varying Propagations between Oil Market Shocks and a Stock Market: Evidence from Turkey”. Borsa Istanbul Review, 20(3), 236-243.
PRIMICERI, Giorgio E (2005). “Time-varying structural vector autoregressions and monetary policy”. The Review of Economic Studies, 72(3), 821-852.
SACHS, Jeffrey D. (1982). Aspects of the current account behavior of OECD economies. NBER Working Paper No. 859.
SADORSKY, Perry (1999). “Oil price shocks and stock market activity”. Energy economics, 21(5), 449-469.
TANG, Weiqi, WU, Libo, ve ZHANG, Zhong Xiang (2010) “Oil price shocks and their short-and long-term effects on the Chinese economy”. Energy Economics, 32, S3-S14.
TOPARLI, E. A., ÇATIK, A. N. ve BALCILAR, M. (2019). “The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach”. Physica A: Statistical Mechanics and its Applications, 535, 122392.
URI, Noel D., ve BOYD, Roy (1996) “The impact of crude oil price fluctuations on unemployment in the United States”. International journal of energy research, 20(11), 1003-1014.
ZHANG, Hao, CAI, Guixin, ve YANG, Dongxiao (2020) “The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective”. Energy, 196, 117099.
WANG, Yudong, WU, Chongfeng, YANG, Li (2013) “Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries”. Journal of Comparative Economics, 41(4), 1220-1239.
WEN, Fenghua, Min, Feng, Zhang, Yue-Zun, Yang, Can (2019) “Crude oil price shocks, monetary policy, and China's economy”. International Journal of Finance & Economics, 24(2), 812-827.

Details

Primary Language

Turkish

Subjects

-

Journal Section

Research Article

Authors

Onur Polat This is me
0000-0002-7170-4254
Türkiye

Publication Date

July 31, 2021

Submission Date

April 1, 2020

Acceptance Date

June 20, 2021

Published in Issue

Year 2021 Volume: 13 Number: 25

DOI

https://doi.org/10.14784/marufacd.976465

IZ

https://izlik.org/JA25SD37XC

Cite

RIS / Bibtex

APA

Polat, O. (2021). PETROL FİYAT ŞOKLARI VE FİNANSAL STRES ARASINDAKİ ZAMAN-DEĞİŞİMLİ İLİŞKİ: AB BÖLGESI İÇİN TVP-VAR ANALİZİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(25), 689-702. https://doi.org/10.14784/marufacd.976465

Cited By

FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA

Pamukkale University Journal of Social Sciences Institute

https://doi.org/10.30794/pausbed.1384474

Finansal Stres ve Para Politikasındaki Belirsizlikler ile Yatırımcı Güven ve Beklentileri Arasındaki Nedensellik İlişkisi: E7 ve G7 Ülkeleri Üzerine Bir Uygulama

Fiscaoeconomia

https://doi.org/10.25295/fsecon.1457517

Türkiye İçin Finansal Stres Endeksinin Ölçümü ve FSE’nin Petrol Fiyatlarıyla Dinamik İlişkisinin Zamana Göre Değişen Parametreli VAR Yaklaşımıyla İncelenmesi

Cankiri Karatekin Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi

https://doi.org/10.18074/ckuiibfd.1241917

Finansal Stres Ölçeği: Türkçeye Uyarlama, Geçerlik ve Güvenirlik Çalışması

Hacettepe Üniversitesi Edebiyat Fakültesi Dergisi

https://doi.org/10.32600/huefd.1476722