Systemic risk for financial institutions of major petroleum-based economies: The role of oil

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SAFE Working Paper ; No. 172

Classification and Topics

• Classification: 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
• Subject: Systemic risk ; risk measurement ; VaR ; ΔCoVaR ; oil ; financial institutions ; petroleum-based economies

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Khalifa, Ahmed ; Caporin, Massimiliano ; Costola, Michele ; Hammoudeh, Shawkat
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
• (where): Frankfurt a. M.
• (when): 2017

Further information

• DOI: doi:10.2139/ssrn.2985352
• Handle: http://hdl.handle.net/10419/203309
• Last update: 10.03.2025, 11:44 AM CET