The Interaction Between Oil Price and Financial Stress: Evidence from the U.S. Data
Open Access
- 31 May 2018
- journal article
- Published by Fiscaoeconomia in Fiscaoeconomia
- Vol. 2 (2), 15-36
- https://doi.org/10.25295/fsecon.2018.02.002
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 (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
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