The Effect of Macroeconomic Indicators on the Financial Stress Index in the Members of the Organization of the Petroleum Exporting Countries (OPEC)

Stress in financial markets is defined as the force that influences financial agents’ behavior in terms of the existence of uncertainty and the change of expectations, and its critical levels have been called “financial crisis”. The increase in oil revenues may have positive impacts on total supply by increasing investment, particularly state investment, the import of capital and intermediate goods, and the introduction of new technologies. When the value of the national currency increases as a result of momentum in oil prices, the price of imported capital and intermediate goods decreases. Due to the importance of the financial stress index and its relationship with important economic variables, the current study aimed to investigate the volatility spillover of financial stress to the macroeconomic indicators in the members of the Organization of the Petroleum Exporting Countries (OPEC). The study used multivariate GARCH, BEKK, and VAR models to investigate and analyze the hypothesis. The data were investigated daily from 2010 to 2019. The findings indicated that the financial stress index causes impulses in interest rates, liquidity, and inflation in Iran, Kuwait, and Qatar.