Systemic risk for financial institutions in the major petroleum-based economies: The role of oil
| Author | Khalifa, Ahmed |
| Author | Caporin, Massimiliano |
| Author | Costola, Michele |
| Author | Hammoudeh, Shawkat |
| Available date | 2023-02-28T06:40:49Z |
| Publication Date | 2020 |
| Publication Name | Energy Journal |
| Identifier | http://dx.doi.org/10.5547/01956574.42.6.AKHA |
| Citation | Khalifa, A. A., Caporin, M., Costola, M., & Hammoudeh, S. M. (2017). Systemic risk for financial institutions of major petroleum-based economies: The role of oil. Universitätsbibliothek Johann Christian Senckenberg. |
| ISSN | 0195-6574 |
| Abstract | We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating ΔCoVaR, 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. |
| Sponsor | The authors are grateful for financial support from KFAS in Kuwait, grant # 2011-1103-01 and DSR-KFUPM through the project #FT121001. The third author acknowledges financial support from the Marie Skłodowska-Curie Actions, the European Union, and the Seventh Framework Program HORIZON 2020, under the REA grant agreement n.707070. He also gratefully acknowledges research support from the Research Center SAFE, funded by the State of Hessen initiative for research LOEWE. |
| Language | en |
| Publisher | International Association for Energy Economics |
| Subject | Financial institutions Petroleum-based economies Systemic risk ΔCoVaR |
| Type | Article |
| Issue Number | 6 |
| Volume Number | 42 |
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