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

Authors

  • 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. JEL Classifications: C32; C52

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Author Biography

Nadhem Selmi

student-FSEG-SFAX

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Published

2014-02-13

How to Cite

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. Retrieved from https://mail.econjournals.com/index.php/ijeep/article/view/694

Issue

Vol. 4 No. 2 (2014)

Section

Articles

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