WERE OIL PRICE MARKETS THE SOURCE OF CREDIT CRISIS IN EUROPEAN COUNTRIES? EVIDENCE USING A VAR-MGARCH-DCC MODEL
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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2014-04-01
|
| Series: | International Journal of Energy Economics and Policy |
| Online Access: | http://econjournals.com/index.php/ijeep/article/view/694/425 |