 How electricity and natural gas prices affect banking systemic riskPina Murè, Cosimo Paccione, Stefano Marzioni and Saverio Giorgio Research in International Business and Finance, 2024, vol. 72, issue PA Abstract: This paper analyzes the impact of energy market conditions, specifically electricity and natural gas prices, on systemic risk in the Euro Area. We adopt the CoVaR methodology introduced by Tobias and Brunnermeier (2016) to analyze shifts in the system’s value at risk, incorporating considerations for electricity and natural gas prices. Our findings reveal that energy-related variables influence systemic risk to a similar extent as other state variables, such as interbank spreads and market volatility. Notably, we find that electricity prices have a more pronounced impact on banks’ risk compared to natural gas prices. Moreover, we observe that the ΔCoVaR serves as a reliable measure of systemic stress conditions when compared to the CISS index established by the ECB. Specifically, the ΔCoVaR developed in this paper, based on data up to the year 2021, anticipates the stress in the system that the CISS index captures in 2022. Keywords: Financial systemic risk; Electricity price; Natural gas price; Quantile regression (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:riibaf:v:72:y:2024:i:pa:s0275531924003039 DOI: 10.1016/j.ribaf.2024.102510 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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