Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries
利用2006年至2019年日度数据，通过贝叶斯图结构向量自回归和溢出方法，分析石油收益与海湾六国金融压力的因果关系及风险传递模式，发现石油收益在中期和长期是金融市场的净溢出者，短期则为净接收者。
Abstract 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.