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

Nadhem Selmi and Nejib Hachicha
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Nadhem Selmi: Department of Quantitative Methods, Faculty of Economics and Management of Sfax Tunisia.
Nejib Hachicha: Department of Quantitative Methods, Faculty of Economics and Management of Sfax Tunisia.

International Journal of Energy Economics and Policy, 2014, vol. 4, issue 2, 169-177

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 (search for similar items in EconPapers)
JEL-codes: C32 C52 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2014-02-7

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