dc.contributor.author |
Nazlioglu, Saban
|
|
dc.contributor.author |
Soytas, Ugur
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2016-01-15T06:43:22Z |
|
dc.date.issued |
2015-07 |
|
dc.description.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 longrun
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. |
en_ZA |
dc.description.embargo |
2016-07-31 |
|
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.sponsorship |
Unit of Pamukkale University Scientific Research Projects and Funds under research grant number 1963 to be presented at the ISEFI-2014. |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/enpol |
en_ZA |
dc.identifier.citation |
Nazlioglu, S, Soytas, U & Gupta, R 2015, 'Oil prices and financial stress : a volatility spillover analysis', Energy Policy, vol. 82, pp. 278-288. |
en_ZA |
dc.identifier.issn |
0301-4215 (print) |
|
dc.identifier.issn |
1873-6777 (online) |
|
dc.identifier.other |
10.1016/j.enpol.2015.01.003 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/51197 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2015 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Policy, vol. 82, pp. 278-288, 2015. doi : 10.1016/j.enpol.2015.01.003. |
en_ZA |
dc.subject |
Oil prices |
en_ZA |
dc.subject |
Financial stress index |
en_ZA |
dc.subject |
Causality |
en_ZA |
dc.subject |
Volatility spillover |
en_ZA |
dc.title |
Oil prices and financial stress : a volatility spillover analysis |
en_ZA |
dc.type |
Postprint Article |
en_ZA |