TY - JOUR
T1 - Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries
AU - Elsayed, Ahmed H.
AU - Downing, Gareth
AU - Lau, Chi Keung Marco
AU - Sheng, Xin
N1 - Publisher Copyright:
© 2022 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd.
PY - 2022/12/30
Y1 - 2022/12/30
N2 - This study explores the relationship and connectedness between oil returns and financial stresses in six Gulf Cooperation Council (GCC) countries using daily data from September 21, 2006 to May 31, 2019. The Bayesian Graph-based Structural Vector Autoregression (BGSVAR) model is utilised to estimate and analyse the direction of causality. In addition, the spillover approach is utilised to examine connectedness and risk transmission patterns between oil returns and financial stresses in the GCC economies in both time and frequency domains. The empirical analysis of the BGSVAR model shows that oil returns and financial stresses have both a contemporary and temporal relationship, whilst findings from the spillovers analysis show that oil returns tend to act as a net transmitter of spillovers to GCC financial markets in both medium and long-run horizons but a net receiver of spillovers in the short-run.
AB - This study explores the relationship and connectedness between oil returns and financial stresses in six Gulf Cooperation Council (GCC) countries using daily data from September 21, 2006 to May 31, 2019. The Bayesian Graph-based Structural Vector Autoregression (BGSVAR) model is utilised to estimate and analyse the direction of causality. In addition, the spillover approach is utilised to examine connectedness and risk transmission patterns between oil returns and financial stresses in the GCC economies in both time and frequency domains. The empirical analysis of the BGSVAR model shows that oil returns and financial stresses have both a contemporary and temporal relationship, whilst findings from the spillovers analysis show that oil returns tend to act as a net transmitter of spillovers to GCC financial markets in both medium and long-run horizons but a net receiver of spillovers in the short-run.
UR - http://www.scopus.com/inward/record.url?scp=85145289298&partnerID=8YFLogxK
U2 - 10.1002/ijfe.2757
DO - 10.1002/ijfe.2757
M3 - Article
AN - SCOPUS:85145289298
SN - 1076-9307
JO - International Journal of Finance and Economics
JF - International Journal of Finance and Economics
ER -