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 |
Show full item record
CORE Recommender
SCOPUSTM
Citations
151
checked on Dec 21, 2024
WEB OF SCIENCETM
Citations
130
checked on Dec 19, 2024
Page view(s)
40
checked on Aug 24, 2024
Google ScholarTM
Check
Altmetric
Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.