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

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.

Kaynakça

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Toplam 73 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Onur Polat Bu kişi benim 0000-0002-7170-4254

Yayımlanma Tarihi 31 Temmuz 2021
Gönderilme Tarihi 1 Nisan 2020
Yayımlandığı Sayı Yıl 2021 Cilt: 13 Sayı: 25

Kaynak Göster

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