 Oil market shocks and financial instability in Asian countriesLeila Dagher () and Fakhri J. Hasanov International Review of Economics & Finance, 2023, vol. 84, issue C, 182-195 Abstract: This paper examines the relationship between oil market shocks and financial instability in Asian countries using a Structural Vector Autoregression (SVAR) following Kilian and Park’s (2009) methodology. Instability in the Asian financial markets is measured by the Financial Stress Index (FSI). Based on impulse response functions, the findings confirm that the source of an oil price shock (supply side or demand side) is extremely important to financial markets. When the oil price increases as a result of oil-specific demand shocks, the financial markets experience less stress. However, when the oil price increases as a result of oil-specific supply shocks, the financial markets experience increased stress. The findings of the study should be useful for international and domestic investors for portfolio diversification and other investment-production purposes, as well as for financial stability regulators, such as central bankers and other monetary authorities. Keywords: FSI; Oil price; Oil supply; Asian countries; SVAR; Impulse response functions (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:84:y:2023:i:c:p:182-195 DOI: 10.1016/j.iref.2022.11.008 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.