Arbeitspapier
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and global financial crises. The results provide evidence in favour of a better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR and the CoVaR that includes oil is absorbed in a time range that is longer than the duration of the oil shocks. This indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial institutions. To support the analysis, we consider other major market-based systemic risk measures.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 172
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Econometrics
Financial Crises
Financial Forecasting and Simulation
Financial Institutions and Services: General
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
Systemic risk
risk measurement
VaR
ΔCoVaR
oil
financial institutions
petroleum-based economies
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Khalifa, Ahmed
Caporin, Massimiliano
Costola, Michele
Hammoudeh, Shawkat
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2139/ssrn.2985352
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Khalifa, Ahmed
- Caporin, Massimiliano
- Costola, Michele
- Hammoudeh, Shawkat
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Entstanden
- 2017
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