Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/10446
Title: Oil prices and financial stress: A volatility spillover analysis
Authors: Nazlıoğlu, Şaban
Soytas, U.
Gupta, R.
Keywords: Causality
Financial stress index
Oil prices
Volatility spillover
Costs
Crude oil
Finance
Impulse response
Crude oil prices
Financial stress
Impulse response analysis
Oil Prices
Volatility modeling
Volatility spillovers
Volatility transmissions
Oil shale
crude oil
financial crisis
financial system
oil supply
policy making
price dynamics
spillover effect
energy market
oil trade
Publisher: Elsevier Ltd
Abstract: This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the period 1991-2014 and divide the sample into pre-crisis, in-crisis, and post-crisis periods due to the downward trend in oil price in 2008. The volatility model estimations indicate that oil prices and financial stress index are dominated by long-run volatility. The volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis. The impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long-lived effects during the crisis. Our results have implications for both policy makers and investors, and for future work. © 2015 Elsevier Ltd.
URI: https://hdl.handle.net/11499/10446
https://doi.org/10.1016/j.enpol.2015.01.003
ISSN: 0301-4215
Appears in Collections:İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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