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From micro risks to macro contagion: assessing systemic risk across the hydrogen energy supply chain with a dynamic factor copula

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  • Chen, Ling
  • He, Lingyun

Abstract

Based on firm-level data from China's hydrogen energy supply chain, this study employs a dynamic factor copula model to analyze systemic risk propagation. By capturing time-varying dependence and computing the joint probability of distress and the expected proportion in distress, we quantify tail risk spillover across the chain and identify systemically important firms. The results reveal that the midstream fuel cell sector serves as the primary risk transmission channel, with systemic importance progressively shifting from downstream to upstream. In addition, stress periods, including the stock crash, trade tensions, the COVID-19 pandemic, and the energy crisis, triggered distinct contagion pathways. These findings offer policymakers and investors a refined framework for monitoring and managing systemic risk within emerging energy sectors.

Suggested Citation

  • Chen, Ling & He, Lingyun, 2026. "From micro risks to macro contagion: assessing systemic risk across the hydrogen energy supply chain with a dynamic factor copula," Finance Research Letters, Elsevier, vol. 96(C).
    • Handle: RePEc:eee:finlet:v:96:y:2026:i:c:s1544612326002369
    DOI: 10.1016/j.frl.2026.109705
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