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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

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

Abstract

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Details

Other ID JA62JM74RR
Journal Section Research Article
Authors

Nadhem Selmi This is me

Nejib Hachicha This is me

Publication Date June 1, 2014
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.
AMA Selmi N, Hachicha N. Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model. IJEEP. June 2014;4(2):169-177.
Chicago 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 4, no. 2 (June 2014): 169-77.
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 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, 2014.
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 2014), 169-177.
JAMA 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, 2014, pp. 169-77.
Vancouver 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):169-77.