Cilt 8 Sayı 2 (2020): Business & Management Studies: An International Journal
Makaleler

PETROL FİYAT ŞOKLARI VE FİNANSAL AKTİVİTE: TVP-VAR YAKLAŞIMI

Onur POLAT
Dr. Öğr.Üyesi, Bilecik Şeyh Edebali Üniversitesi

Yayınlanmış 2020-06-25

Anahtar Kelimeler

  • Oil Price Shocks Financial Stress Kansas City Financial Stress Index Time-Varying Parameter VAR
  • Petrol Fiyat Şokları Finansal Stres Kansas Şehri Finansal Stres Endeksi Zamana Göre Değişen Parametreli VAR Modeli

Nasıl Atıf Yapılır

POLAT, O. (2020). PETROL FİYAT ŞOKLARI VE FİNANSAL AKTİVİTE: TVP-VAR YAKLAŞIMI. Business & Management Studies: An International Journal, 8(2), 1922–1943. https://doi.org/10.15295/bmij.v8i2.1472

Özet

Bu çalışma Şubat 1990 ve Kasım 2019 döneminde petrol fiyat şoklarının küresel finansal aktiviteye olan zaman-değişimli etkilerini Zamana Göre Değişen Parametreli VAR (TVP-VAR) modeli uygulayarak incelemektedir. Bu bağlamda aylık spot WTI ham petrol fiyatları, dünya ham petrol üretimi ve Kansas Şehri Finansal Stres Endeksi (KCFSI) verileri ampirik analizde kullanılmıştır. Çalışmanın ampirik sonuçları petrol fiyatlarındaki kalıcı bir artışın finansal koşulları olumsuz olarak etkilediğini göstermektedir. Bununla birlikte, pozitif bir petrol arz şoku petrol fiyatlarında düşüşe neden olmaktadır. Çalışmanın bulguları literatürde elde edilen sonuçlarla uyumludur ve TVP-VAR modelinin yapısal petrol fiyat şoklarının zaman-değişimli yapısını yakalamadaki tutarlılığını göstermektedir.

İndirmeler

İndirme verileri henüz mevcut değil.

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