TY - JOUR AU - Selmi, Nadhem AU - Hachicha, Nejib PY - 2014/02/13 Y2 - 2024/03/28 TI - Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model JF - International Journal of Energy Economics and Policy JA - IJEEP VL - 4 IS - 2 SE - Articles DO - UR - https://econjournals.com/index.php/ijeep/article/view/694 SP - 169-177 AB - <p>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.</p> <p><strong>Keywords: </strong>Oil price; Contagion; Crisis; VAR-MGARCH-DCC.</p> <p><strong>JEL Classifications: </strong>C32; C52</p> ER -