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

关键词: oil price;    contagion;    crisis;    var-mgarch-dcc;   

DOI  :  

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown