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

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  • Onur POLAT

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

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  • Onur POLAT, 2018. "The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
    • Handle: RePEc:fis:journl:180302
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    More about this item

    Keywords

    Oil Price Shocks; Financial Stress Index; SVAR; DCC-GARCH;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance
    • P48 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - Legal Institutions; Property Rights; Natural Resources; Energy; Environment; Regional Studies

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