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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2014-06-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijeeep/issue/31909/350796?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| Summary: | 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 global crises. Our results also show that the European debt crisis has already spread like a crisis from oil prices to Ireland and Portugal, and other countries are now at risk: Spain is a probable candidate for financial crisis. |
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| ISSN: | 2146-4553 |