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

Year 2014, Volume: 4 Issue: 2, 169 - 177, 01.06.2014

Nadhem Selmi Nejib Hachicha

https://izlik.org/JA33RF43XT

Abstract

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

Year 2014, Volume: 4 Issue: 2, 169 - 177, 01.06.2014

Nadhem Selmi Nejib Hachicha

https://izlik.org/JA33RF43XT

Abstract

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Details

Other ID JA62JM74RR
Authors

Nadhem Selmi This is me

Nejib Hachicha This is me

Publication Date June 1, 2014
IZ https://izlik.org/JA33RF43XT
Published in Issue Year 2014 Volume: 4 Issue: 2

Cite

APA Selmi, N., & Hachicha, N. (2014). Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model. International Journal of Energy Economics and Policy, 4(2), 169-177. https://izlik.org/JA33RF43XT
AMA 1.Selmi N, Hachicha N. Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model. IJEEP. 2014;4(2):169-177. https://izlik.org/JA33RF43XT
Chicago Selmi, Nadhem, and Nejib Hachicha. 2014. “Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model”. International Journal of Energy Economics and Policy 4 (2): 169-77. https://izlik.org/JA33RF43XT.
EndNote Selmi N, Hachicha N (June 1, 2014) Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model. International Journal of Energy Economics and Policy 4 2 169–177.
IEEE [1]N. Selmi and N. Hachicha, “Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model”, IJEEP, vol. 4, no. 2, pp. 169–177, June 2014, [Online]. Available: https://izlik.org/JA33RF43XT
ISNAD Selmi, Nadhem - Hachicha, Nejib. “Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model”. International Journal of Energy Economics and Policy 4/2 (June 1, 2014): 169-177. https://izlik.org/JA33RF43XT.
JAMA 1.Selmi N, Hachicha N. Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model. IJEEP. 2014;4:169–177.
MLA Selmi, Nadhem, and Nejib Hachicha. “Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model”. International Journal of Energy Economics and Policy, vol. 4, no. 2, June 2014, pp. 169-77, https://izlik.org/JA33RF43XT.
Vancouver 1.Nadhem Selmi, Nejib Hachicha. Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model. IJEEP [Internet]. 2014 Jun. 1;4(2):169-77. Available from: https://izlik.org/JA33RF43XT