Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model

Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model

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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...

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Bibliographic Details
Main Authors: Nadhem Selmi, Nejib Hachicha
Format: Article
Language:English
Published: EconJournals 2014-06-01
Series:International Journal of Energy Economics and Policy
Subjects:
oil price
contagion
crisis
var-mgarch-dcc
Online Access:https://dergipark.org.tr/tr/pub/ijeeep/issue/31909/350796?publisher=http-www-cag-edu-tr-ilhan-ozturk

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https://dergipark.org.tr/tr/pub/ijeeep/issue/31909/350796?publisher=http-www-cag-edu-tr-ilhan-ozturk

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