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
Date Written: March 30, 2020
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: Suggested Citation