Extreme risk spillovers in international energy markets: New insights from multilayer networks in the frequency domain

Xiu Jin, Yueli Liu, Jinming Yu and Na Chen

Energy Economics, 2024, vol. 139, issue C

Abstract: This paper constructs multilayer risk spillover networks in the frequency domain, containing short-, medium-, and long-term layers, to explore extreme risk spillovers in international energy markets at different frequency bands. We analyze the topology properties of multilayer networks at the system, region, and country levels. Based on daily data from 20 national energy stock markets spanning 2006–2023, the empirical results show that: (1) The overall topology of multilayer networks, including the edge structure and spillover strength structure, exhibit frequency heterogeneity. With the onset of a major crisis, the frequency heterogeneity of the network topology increases significantly, and international energy risk spillovers tend to concentrate in fewer layers (i.e., over one or two frequency bands). (2) Long-term risk is primarily responsible for the extreme risk spillover behavior between energy markets. (3) Compared to short- and medium-term spillovers, long-term spillovers are more crisis-sensitive. Furthermore, long-term spillovers within different regions vary in their sensitivity to local or global crises. (4) As market conditions fluctuate, the key players driving the short-term layer change, whereas those driving the medium- and long-term layers remain relatively stable. Overall, our findings provide new insights for policymakers and investors to prevent international energy systemic risks and optimize investment strategies.

Keywords: Energy markets; Extreme risk spillover; Multilayer networks; Frequency domain (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 Q43 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988324006169
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:eneeco:v:139:y:2024:i:c:s0140988324006169

DOI: 10.1016/j.eneco.2024.107908

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
Bibliographic data for series maintained by Catherine Liu ().