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

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Fiscaoeconomia
Volume:2 Issue:2
The Interaction Between Oil Price and Financial Stress: Evidence from the U.S. Data

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

Authors : Onur POLAT

Pages : 15-36

Doi:10.25295/fsecon.2018.02.002

View : 39 | Download : 13

Publication Date : 2018-05-31

Article Type : Research Paper

Abstract :This study examines linkages between daily oıl 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 insert ignore into journalissuearticles values(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

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