Journal
ENERGY ECONOMICS
Volume 97, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.eneco.2021.105221
Keywords
Global energy company; Systemic risk; Value-at-risk; Connectedness network; Financial factors
Categories
Funding
- National Natural Science Foundation of China [72022020, 71974181, 71974159, 71774152]
- 111 Project [B16040]
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This study explores the firm-level interconnections in the global energy market using a network approach, identifying top risk contributors and constructing a total systemic risk index (TSRI). The results show that US stock market volatility and investors' sentiment in the financial market mainly drive the dynamics of the system.
This study seeks to explore the firm-level interconnections in the fast changing and integrating global energy market. We investigate the risk connectedness using a Value-at-Risk (VaR) measure within a network composed of the top 20 global energy companies recognized by the Platts global energy company rankings, using the Diebold and Yilmaz's (2014) approach. We manage to identify the top risk contributors to the system across companies, regions and industries, and construct a total systemic risk index (TSRI) of the energy system. We further investigate which risk factors play a role in driving the evolution of the TSRI, again from a network perspective. The results show that its dynamics are mainly driven by the US stock market volatility and investors' sentiment in the financial market over the full sample, while energy market risks and exchange rate movements exert significant but short-term influences. (c) 2021 Elsevier B.V. All rights reserved.
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