Nadhem SELMİ, Nejib HACHİCHA

105139

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

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.

Keywords:

Oil price, Contagion Crisis, VAR-MGARCH-DCC,

International Journal of Energy Economics and Policy-Cover

Başlangıç: 2011
Yayıncı: İlhan ÖZTÜRK

Arşiv

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