Journal article
Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil
The Energy journal (Cambridge, Mass.), v 42(6), pp 247-274
01 Nov 2021
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating Delta CoVaR, we observe the presence of remarkable increases in risk levels during the financial crises and achieve a better risk measurement when oil returns are included in the risk functions. Moreover, the estimated spread between the CoVaR without and with oil returns is absorbed in a time range that is longer than the duration of the oil shocks. This indicates that drops in oil prices which have a longer effect on risk and financial institutions require more time to account for their impact. Policy implications are also provided.
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Details
- Title
- Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil
- Creators
- Ahmed Khalifa - Qatar Univ, Coll Business & Econ, Doha, QatarMassimiliano Caporin - Univ Padua, Dept Stat Sci, Padua, ItalyMichele Costola - Univ Venice, Venice, ItalyShawkat Hammoudeh - Drexel University
- Publication Details
- The Energy journal (Cambridge, Mass.), v 42(6), pp 247-274
- Publisher
- Int Assoc Energy Economics
- Number of pages
- 28
- Grant note
- Research Center SAFE - State of Hessen initiative for research LOEWE 707070 / Seventh Framework Program HORIZON 2020, under the REA grant Marie Skodowska-Curie Actions FT121001 / DSR-KFUPM 2011-1103-01 / KFAS in Kuwait European Union; European Commission
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000719872800011
- Scopus ID
- 2-s2.0-85097465034
- Other Identifier
- 991019167454504721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics
- Energy & Fuels
- Environmental Studies