 Do oil shocks affect Chinese bank risk?Yu Ma, Yang Zhang and Qiang Ji Energy Economics, 2021, vol. 96, issue C Abstract: This paper used the panel vector autoregression model to decompose oil shock into four discrete kinds of shocks: Supply, global demand, specific demand for oil, and oil speculation. Thereafter, their impacts on the stock returns risk of 16 listed banks in China were estimated. The results show a slight increase in bank risk in the second month affected by oil supply shock, which turned negative between the third and the 10th months. The impact of global demand shock on banking sector risk was significantly negative and recovered after 10 months. Oil-specific demand shock briefly and rapidly reduced banking sector risk in the first three months and returned to normal in the fourth month. The impact of oil speculative shock was not significant in the first four months, but increased bank risk levels between the fifth and eighth months. Additionally, the banks' group discussion results demonstrate the absence of impact of oil shock on state-owned banks, although it significantly affected the risk level of non-state-owned banks, indicating that the latter are more sensitive to oil shock Keywords: CoVaR; Oil shock; Bank risk; PVAR model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000712 DOI: 10.1016/j.eneco.2021.105166 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.