Does oil future increase the network systemic risk of financial institutions in China?

Chuanglian Chen, Lichao Zhou, Chuanwang Sun and Yuting Lin

Applied Energy, 2024, vol. 364, issue C, No S0306261924005592

Abstract: The fluctuation of oil futures price greatly influences the market investment sentiment, which can cause credit risk and capital pressure risk of various financial institutions, and ultimately affect the idiosyncratic risk and systemic risk of financial institutions. This paper adopts MES to measure the systemic risk of Chinese financial institutions and proposes a high-dimensional time-varying parameter spillover network matrix to identify the infection route and source of systemic risk. Finally, the paper investigates the mechanism by that oil futures affect the contagion effect of systemic risk across institutions. The results show that banking financial institutions are the main exporters of risk while insurance is the main absorber, and after the outbreak of COVID-19, the risk contagion capacity of institutions generally increased, the network structure became more complex, and the risk spillover level was pro-cyclical. The empirical results show that the rise of oil futures will promote the (net) risk spillover capacity of institutions and inhibit the risk absorption capacity, and the above process can be transmitted through the stock market, bond market, and foreign exchange market.

Keywords: Oil future; Cross-institutional infection spillover effects; Generalized forecast error variance decomposition; Transmission mechanism (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0306261924005592
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/bibliographic
http://www.elsevier. ... 405891/bibliographic

DOI: 10.1016/j.apenergy.2024.123176

Access Statistics for this article

Applied Energy is currently edited by J. Yan

More articles in Applied Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().