Oil Market Shocks and Financial Instability in Asian Countries

Leila Dagher () and Fakhri Hasanov

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the relationship between oil market shocks and financial instability in Asian countries using a Structural Vector Autoregression (SVAR) following Kilian’s (2009) methodology. Instability in the Asian financial markets is measured by the Financial Stress Index (FSI). Based on impulse response functions, the findings confirm that the source of an oil price shock (supply side or demand side) is extremely important to financial markets. When the oil price increases as a result of oil-specific demand shocks, the financial markets experience less stress. However, when the oil price increases as a result of oil-specific supply shocks, the financial markets experience increased stress. The findings of the study should be useful for international and domestic investors for portfolio diversification and other investment-production purposes, as well as for financial stability regulators and other monetary authorities.

Keywords: FSI; oil price; oil supply; Asian countries; SVAR; impulse response functions (search for similar items in EconPapers)
JEL-codes: E44 G01 G18 Q43 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-ene and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/116079/1/MPRA_paper_116079.pdf original version (application/pdf)

Related works:
Journal Article: Oil market shocks and financial instability in Asian countries (2023)
Working Paper: Oil Market Shocks and Financial Instability in Asian Countries (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:116079

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().