The systemic risk of US oil and natural gas companies

Arbeitspapier

We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the Covid-19 pandemic. The price of oil and natural gas showed extreme swings, impacting companies' financial situations, which, accompanied by technological developments in shale production, had an impact on the debt issuance and on the overall risk level of the oil and natural gas sector. By studying the systemic impact of oil and natural gas companies on risk in the financial market, measured by the ∆CoVaR, we observe that in the most recent decade, their role is sensibly increasing compared to 2000-2010, even accounting for the possible effect associated with the increase in companies' sizes. In addition, our results show evidence of a decreasing relevance of traditional drivers of systemic risk, suggesting that additional factors might be present. Finally, when focusing on the impact of Covid-19, we document its relevant role in fueling the increase in the oil and natural gas companies' systemic impact.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: JRC Working Papers in Economics and Finance ; No. 2022/11

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Energy and the Macroeconomy ; Energy: General ; General Financial Markets: General (includes Measurement and Data) ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Financial Econometrics
• Thema: Systemic risk ; Oil and Natural Gas ; Fossil Fuel ; Energy

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Massimiliano, Caporin ; Fulvio, Fontini ; Roberto, Panzica
• Ereignis: Veröffentlichung
• (wer): European Commission
• (wo): Ispra
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/268937
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ