The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data

Onur Polat

Fiscaoeconomia, 2018, issue 3

Abstract: This study examines linkages between daily oil price dynamics and financial stress. We analyze the dynamic interaction mechanism between daily WTI crude oil prices and financial stress index of the United States developed by Polat (2017) with Structural VAR model in 01/10/1993-11/18/2016 period. The empirical results of the study suggest that there exist a significant relationship between oil price dynamics and financial stress and the relationship is dominated by the short-run

Keywords: Oil Price Shocks; Financial Stress Index; SVAR; DCC-GARCH (search for similar items in EconPapers)
JEL-codes: C33 F3 G1 P48 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:fis:journl:180302

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