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

Yıl 2021, Cilt: 13 Sayı: 25, 689 - 702, 31.07.2021

Onur Polat

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

Cited By: 1

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

Ham Petrol Fiyatları, CISS, Kilian Endeksi, Finansal Stres

Kaynakça

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