TY  - JOUR
TT  - Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model
AU  - Selmi, Nadhem
AU  - Hachicha, Nejib
PY  - 2014
DA  - June
JF  - International Journal of Energy Economics and Policy
JO  - IJEEP
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4553
SP  - 169
EP  - 177
VL  - 4
IS  - 2
KW  - Oil price
KW  - Contagion
KW  - Crisis
KW  - VAR-MGARCH-DCC
N2  - 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.
UR  - https://dergipark.org.tr/tr/pub/ijeeep/issue//350796
L1  - https://dergipark.org.tr/tr/download/article-file/361299
ER  -