Systemic risk and oil price volatility shocks

Ioannis Chatziantoniou, Gonul Colak, Michail Filippidis, George Filis and Panagiotis Tzouvanas

Journal of Financial Stability, 2025, vol. 79, issue C

Abstract: We examine the impact of different types of oil price volatility shocks on firm’s systemic risk using a large panel dataset of US firms. Oil price volatility shocks occur due to changes in supply or demand for oil, or through idiosyncratic fluctuations of oil prices. Our findings indicate that the supply-driven or idiosyncratic oil price volatility shocks reduce systemic risk, whereas demand-driven shocks have the opposite effect. Large-cap and high-beta firms amplify the impact of oil price volatility shocks on firms’ systemic risk. Importantly, firms with extensive supply chain networks exacerbate systemic risk when facing demand-driven oil price volatility shocks.

Keywords: Systemic risk; Oil price volatility; Supply-side shocks; Demand shocks; Idiosyncratic shocks; Supply chain network; Network centrality (search for similar items in EconPapers)
JEL-codes: G12 G3 Q4 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000610

DOI: 10.1016/j.jfs.2025.101432

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