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:: Volume 17, Issue 71 (Winter 1400 2022) ::
QEER 2022, 17(71): 113-145 Back to browse issues page
Investigating the Transmission of Financial Stress Index Fluctuations on Macroeconomic Indicators of Selected Opec Member Countries
GHASEM Alavitabar1, Hamid Khajeh2, Gholamreza Askarzadeh2, Seyed yahya Abtahi2
1- boushehr gas company , Ghasem_alavytabar@yahoo.com
2- yazd.azad university
Abstract:   (885 Views)
Stress in financial markets is defined as the force influencing the behavior of economic agents in the form of uncertainty and changing expectations, the critical values ​​of which are called financial crisis. Increasing oil revenues may have positive effects on aggregate supply through increased investments, especially public sector investment, as well as the import of capital and intermediate goods and the introduction of new technologies. An increase in the value of the national currency, which can result from a positive oil shock, actually lowers the price of imported capital and intermediate goods. Due to the importance of discussing Financial Stress Index and its relationship with economic variables affecting countries in this study with the aim of investigating the transfer of fluctuation of Financial Stress Index on macroeconomic indicators of  selected OPEC member countries, this issue has been studied. In this research, using multivariate GARCH models, BEKK and VAR models, the research hypotheses have been tested and analyzed. The data of the present study have been reviewed daily during the years 2010 to 2020. The results of the study indicate that the Financial Stress Index causes a surge in interest rates, liquidity and inflation in Iran, Kuwait and Qatar.
Keywords: Financial Stress Index, macroeconomic indicators, selected OPEC member countries
JEL Classification: E23, F53, C43
Keywords: Financial stress index, macroeconomic indicators, OPEC member countries
Full-Text [PDF 642 kb]   (239 Downloads)    
Type of Study: case report | Subject: Oil Shocks
Received: 2021/04/28 | Accepted: 2021/09/26 | Published: 2022/01/31 | ePublished: 2022/01/31
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alavitabar G, khajeh H, Askarzadeh G, abtahi S Y. Investigating the Transmission of Financial Stress Index Fluctuations on Macroeconomic Indicators of Selected Opec Member Countries. QEER. 2022; 17 (71) :113-145
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Volume 17, Issue 71 (Winter 1400 2022) Back to browse issues page
فصلنامه مطالعات اقتصاد انرژی Quarterly Energy Economics Review
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