Crude Oil price impactability from frequency changes of the financial stress index

Document Type : Original Article

Authors
ghasem alavitabar 1
HAMID Khajehmahmoodabadi 2
gholamreza askarzadeh 2
Seyed yahya abtahi 3
1 Phd student, Islamic Azad University, Yazd Branch, Iran
2 Assistant professor of financial management, Islamic Azad University, Yazd Branch, Iran
3 Assistant professor of economics, Islamic Azad University, Yazd Branch, Iran
10.30495/jik.2025.23656
Abstract
In OPEC member countries, revenues from oil sales are considered as the most important source of export revenue, and therefore oil prices and revenues from exports play an important and decisive role in the budget and economic structure of most of these countries. Therefore, any unexpected price shock to global oil markets can lead to imbalances and even crises in these countries. Financial stress in OPEC member countries is caused by changes and fluctuations in oil sales prices and can affect the economic variables of this Countries are influential. In this study, the impact of oil prices on changes in the frequency of financial stress index in OPEC member countries has been investigated using daily data during the years 1389 to 1398 and using multivariate GARCH models BEKK, VAR and Granger causality. And the analysis of the hypotheses is discussed. The results of testing the hypotheses showed that fluctuations in financial stress index in Iran, Kuwait, Qatar and Saudi Arabia have a positive and significant effect on crude oil prices and between Iran, Kuwait, Qatar and Saudi Arabia only cause and effect relationships. There is a link between the financial stress index of Iran and Saudi Arabia.
Keywords
Financial stress index،Frequency changes،dynamics analysis
،OPEC member countries،BEEK multivariate model
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