Dynamic Transmissions Between Oil Specific Shocks and Financial Stress: Evidence From the Euro Area

18 Pages Posted: 23 Apr 2020 Last revised: 24 Apr 2020

See all articles by Onur Polat

Onur Polat

Bilecik Seyh Edebali University

Date Written: March 30, 2020

Abstract

In this study, we investigate dynamic transmissions between oil market and Euro area financial stress by implementing the TVP-VAR model. Our data cover monthly WTI 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 September 2000 to December 2018. Empirical results of the study verify that, the TVP-VAR model captures dynamic nature of the structural shocks arisen from the global oil market to the Euro area financial stress consistently and robustly.

Keywords: Crude Oil Prices, CISS, Kilian Index

JEL Classification: C58, G15, C11

Suggested Citation

Polat, Onur, Dynamic Transmissions Between Oil Specific Shocks and Financial Stress: Evidence From the Euro Area (March 30, 2020). Available at SSRN: https://ssrn.com/abstract=3564101 or http://dx.doi.org/10.2139/ssrn.3564101

Onur Polat (Contact Author)

Bilecik Seyh Edebali University ( email )

Faculty of Economic and Administrative Sciences, 1
Bilecik, 11210
Turkey

HOME PAGE: http://pvs.bilecik.edu.tr/onur.polat/

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