Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil

Ahmed Khalif, Massimiliano Caporin, Michele Costola and Shawkat Hammoudeh

The Energy Journal, 2021, vol. 42, issue 6, 247-274

Abstract: We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating ACoVaR, we observe the presence of remarkable increases in risk levels during the financial crises and achieve a better risk measurement when oil returns are included in the risk functions. Moreover, the estimated spread between the CoVaR without and with oil returns is absorbed in a time range that is longer than the duration of the oil shocks. This indicates that drops in oil prices which have a longer effect on risk and financial institutions require more time to account for their impact. Policy implications are also provided.

Keywords: Systemic risk; ΔCoVaR; financial institutions; petroleum-based economies (search for similar items in EconPapers)
Date: 2021
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Related works:
Journal Article: Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil (2021)
Working Paper: Systemic risk for financial institutions of major petroleum-based economies: The role of oil (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:42:y:2021:i:6:p:247-274

DOI: 10.5547/01956574.42.6.akha

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