Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries

Ahmed Elsayed, Gareth Downing, Chi Keung Lau and Xin Sheng

International Journal of Finance & Economics, 2024, vol. 29, issue 2, 1804-1819

Abstract: This study explores the relationship and connectedness between oil returns and financial stresses in six Gulf Cooperation Council (GCC) countries using daily data from September 21, 2006 to May 31, 2019. The Bayesian Graph‐based Structural Vector Autoregression (BGSVAR) model is utilised to estimate and analyse the direction of causality. In addition, the spillover approach is utilised to examine connectedness and risk transmission patterns between oil returns and financial stresses in the GCC economies in both time and frequency domains. The empirical analysis of the BGSVAR model shows that oil returns and financial stresses have both a contemporary and temporal relationship, whilst findings from the spillovers analysis show that oil returns tend to act as a net transmitter of spillovers to GCC financial markets in both medium and long‐run horizons but a net receiver of spillovers in the short‐run.

Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.2757

Related works:
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:wly:ijfiec:v:29:y:2024:i:2:p:1804-1819

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().