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.
Diğer ID | JA62JM74RR |
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Bölüm | Araştırma Makalesi |
Yazarlar | |
Yayımlanma Tarihi | 1 Haziran 2014 |
Yayımlandığı Sayı | Yıl 2014 Cilt: 4 Sayı: 2 |