Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model
This paper examines the role of oil prices, credit, financial and commercial linkages in the propagation of industrial market crises during the period 2004-2012. Using VAR-MGARCH-DCC model regressions on seven markets finds that credit linkage played a significant role in the subprime, financial and...
|International Journal of Energy Economics and Policy