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

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

Author(s) -

Onur Polat

Publication year - 2018

Publication title -

fiscaoeconomia

Language(s) - English

Resource type - Journals

ISSN - 2564-7504

DOI - 10.25295/fsecon.2018.02.002

Subject(s) - oil price , economics , stress (linguistics) , crude oil , index (typography) , monetary economics , mechanism (biology) , econometrics , financial economics , engineering , computer science , linguistics , philosophy , epistemology , world wide web , petroleum engineering

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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