{"title":"PETROL FİYAT ŞOKLARI VE FİNANSAL STRES ARASINDAKİ ZAMAN-DEĞİŞİMLİ İLİŞKİ: AB BÖLGESI İÇİN TVP-VAR ANALİZİ","authors":"Onur Polat","doi":"10.14784/marufacd.976465","DOIUrl":null,"url":null,"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.","PeriodicalId":440701,"journal":{"name":"Finansal Araştırmalar ve Çalışmalar Dergisi","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finansal Araştırmalar ve Çalışmalar Dergisi","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14784/marufacd.976465","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
PETROL FİYAT ŞOKLARI VE FİNANSAL STRES ARASINDAKİ ZAMAN-DEĞİŞİMLİ İLİŞKİ: AB BÖLGESI İÇİN TVP-VAR ANALİZİ
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.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
