2019
DOI: 10.32479/ijeep.7643
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Asymmetric Threshold Cointegration and Nonlinear Adjustment Between Oil Prices and Financial Stress

Abstract: This paper attempts to estimate the relationship between oil prices and financial stress using weekly data for the period December 31, 1993 to July 15, 2016. The analysis is carried out using the cointegration framework. Both the linear and non-linear models for cointegration and related error correction models are estimated. The paper finds the threshold cointegration model more suitable than the linear cointegration models. It finds evidence of asymmetry in the adjustment process to equilibrium. It also find… Show more

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