How do energy market shocks affect economic activity in the US under changing financial conditions?

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dc.authorid0000-0001-9694-5196
dc.authorid0000-0002-6459-9898
dc.authorid0000-0003-3827-6187
dc.contributor.authorBalcılar, Mehmet
dc.contributor.authorUsman, Ojonugwa
dc.contributor.authorRoubaud, David
dc.date.accessioned2024-10-12T19:47:14Z
dc.date.available2024-10-12T19:47:14Z
dc.date.issued2022
dc.departmentİstanbul Ticaret Üniversitesi, İşletme Fakültesi, İktisat (İngilizce) Bölümüen_US
dc.description.abstractCredit markets play a crucial role in the propagation of shocks through an economy. Both economic uncertainty and oil market shocks transmit through credit markets to various sectors of an economy. However, the transmission of the shocks depends on the state of an economy as crises periods behave quite differently from normal times. We use a nonlinear vector autoregressive (VAR) model to study the transmission of uncertainty and oil market shocks using monthly data over the 1986:M1–2021:M1 period. The nonlinear VAR model allows the transmission of uncertainty and oil market shocks to a change during financial distress periods. We find that economic uncertainty is closely related to financial conditions and transmission dynamic change during financial crises. Uncertainty shocks are recessionary with a stronger effect during financial distress. Oil supply shocks associated with increasing oil prices are also recessionary and stronger during financial distress while positive demand shocks are expansionary. We find strong asymmetry in responses of macroeconomic aggregates across financial regimes and signs of the shocks. © The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022.en_US
dc.identifier.citationBalcilar, M., Usman, O., & Roubaud, D. (2022). How do energy market shocks affect economic activity in the US under changing financial conditions?. In Applications in energy finance: The energy sector, economic activity, financial markets and the environment (pp. 85-114).
dc.identifier.doi10.1007/978-3-030-92957-2_4
dc.identifier.endpage114en_US
dc.identifier.isbn978-303092957-2; 978-303092956-5
dc.identifier.scopus2-s2.0-85138169652en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.startpage85en_US
dc.identifier.urihttps://doi.org/10.1007/978-3-030-92957-2_4
dc.identifier.urihttps://hdl.handle.net/11467/8846
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringer International Publishingen_US
dc.relation.ispartofApplications in Energy Finance: The Energy Sector, Economic Activity, Financial Markets and the Environmenten_US
dc.relation.publicationcategoryKitap Bölümü - Uluslararasıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectEconomic Activityen_US
dc.subjectFinancial Marketsen_US
dc.subjectOil Pricesen_US
dc.subjectStochastic Volatilityen_US
dc.subjectThreshold VARsen_US
dc.subjectUncertaintyen_US
dc.titleHow do energy market shocks affect economic activity in the US under changing financial conditions?en_US
dc.typeBook Chapteren_US

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