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Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis

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  • Delphine Lautier and Franck Raynaud
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    Abstract

    This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross-and inter-market linkages, both within the commodity complex and between commodities and other financial assets. In such a high dimensional analysis, graph theory enables us to understand the dynamic behavior of our price system. We show that energy markets--as a whole--stand at the heart of this system. We also establish that crude oil is itself at the center of the energy complex. Further, we provide evidence that commodity markets have become more integrated over time.

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    Bibliographic Info

    Article provided by International Association for Energy Economics in its journal The Energy Journal.

    Volume (Year): Volume 33 (2012)
    Issue (Month): Number 3 ()
    Pages:

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    Handle: RePEc:aen:journl:ej33-3-08

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    Cited by:
    1. Lautier, Delphine & Ling, Julien & Raynaud, Franck, 2014. "Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?," Economics Papers from University Paris Dauphine 123456789/13632, Paris Dauphine University.
    2. PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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