PETROL FİYAT ŞOKLARI VE FİNANSAL STRES ARASINDAKİ ZAMAN-DEĞİŞİMLİ İLİŞKİ: AB BÖLGESI İÇİN TVP-VAR ANALİZİ

Abstract

In this study, the dynamic transmission mechanism between oil price shocks and Euro area financial stress index is investigated by implementing the TVP-VAR model. Accordingly, the data set of the study cover monthly WTI crude oil price, global oil production, the Kilian Index and a measure for financial stress for the Euro area (Composite Indicator of Systemic Stress, CISS) and range from 2000:09 to 2018:06. Empirical results of the study verify that, financial conditions worsen in response to positive oil price shocks. Additionally, the TVP-VAR model captures the dynamic nature of the structural shocks arisen from the global oil market to the Euro area financial conditions consistently and robustly.