The systemic risk of US oil and natural gas companies

Massimiliano Caporin, Fulvio Fontini and Roberto Panzica ()
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Roberto Panzica: European Commission, https://ec.europa.eu/jrc/en

No 2022-11, JRC Working Papers in Economics and Finance from Joint Research Centre, European Commission

Abstract: We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the Covid-19 pandemic. The price of oil and natural gas showed extreme swings, impacting companies' financial situations, which, accompanied by technological developments in shale production, had an impact on the debt issuance and on the overall risk level of the oil and natural gas sector. By studying the systemic impact of oil and natural gas companies on risk in the financial market, measured by the ∆CoVaR, we observe that in the most recent decade, their role is sensibly increasing compared to 2000–2010, even accounting for the possible effect associated with the increase in companies' sizes. In addition, our results show evidence of a decreasing relevance of traditional drivers of systemic risk, suggesting that additional factors might be present. Finally, when focusing on the impact of Covid-19, we document its relevant role in fueling the increase in the oil and natural gas companies' systemic impact.

Keywords: Systemic risk; Oil and Natural Gas; Fossil Fuel; Energy (search for similar items in EconPapers)
JEL-codes: C21 C58 G10 Q40 Q43 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2022-07
New Economics Papers: this item is included in nep-ene and nep-rmg
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Journal Article: The systemic risk of US oil and natural gas companies (2023)
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