Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey
We use a Bayesian time-varying parameter vector autoregression (TVP-VAR) model to examine the time-varying transmission mechanisms between structural oil price shocks and Borsa Istanbul, Turkey's stock market (BIST). Our data span the period February 1988 to December 2018, and include monthly W...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-09-01
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| Series: | Borsa Istanbul Review |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845020300016 |