How connected is the oil-bank network? Firm-level and high-frequency evidence

Yunhan Zhang, David Gabauer, Rangan Gupta and Qiang Ji

Energy Economics, 2024, vol. 136, issue C

Abstract: By introducing a new generalized forecast error variance decomposition (GFEVD) approach that splits the same into its contemporaneous and lagged components, we investigate the risk spillover effects of different order moments, derived from intraday data, for the top 10 banks and top 10 oil and gas companies in the U.S., covering the period from December 29, 2017 to December 30, 2022. The study finds that, first, the dynamic total connectedness of all order moments is heterogeneous over time driven by economic events. Second, except realized volatility spillovers, the vast majority of overall spillovers are attributable to contemporaneous spillovers, while only a tiny fraction is associated with lagged spillovers. Finally, realized skewness (crash risk) and realized kurtosis (extreme events) in banks and oil and gas companies originate mainly from intra-industry rather than inter-industry transmission.

Keywords: Banking connectedness; TVP-VAR; Higher moments; Dynamic connectedness; GFEVD decomposition (search for similar items in EconPapers)
JEL-codes: C50 F65 G15 (search for similar items in EconPapers)
Date: 2024
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Working Paper: How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400392x

DOI: 10.1016/j.eneco.2024.107684

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