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The systemic risk of US oil and natural gas companies

Author

Listed:
  • Caporin, Massimiliano

    (Universita degli Studi di Padova)

  • Fontini, Fulvio

    (Universita degli Studi di Padova)

  • Panzica, Roberto

    (European Commission)

Abstract

We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the Covid-19 pandemic. The price of oil and natural gas showed extreme swings, impacting companies' financial situations, which, accompanied by technological developments in shale production, had an impact on the debt issuance and on the overall risk level of the oil and natural gas sector. By studying the systemic impact of oil and natural gas companies on risk in the financial market, measured by the ∆CoVaR, we observe that in the most recent decade, their role is sensibly increasing compared to 2000–2010, even accounting for the possible effect associated with the increase in companies' sizes. In addition, our results show evidence of a decreasing relevance of traditional drivers of systemic risk, suggesting that additional factors might be present. Finally, when focusing on the impact of Covid-19, we document its relevant role in fueling the increase in the oil and natural gas companies' systemic impact.

Suggested Citation

  • Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2022. "The systemic risk of US oil and natural gas companies," JRC Working Papers in Economics and Finance 2022-11, Joint Research Centre, European Commission.
    • Handle: RePEc:jrs:wpaper:202211
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    Cited by:

    1. Marzioni, Stefano & Murè, Pina & Paccione, Cosimo & Spallone, Marco, 2025. "Does Natural Gas Matter for Financial Stability? A SVAR-X Analysis on the European Financial System and Financial Intermediaries," Energy Economics, Elsevier, vol. 145(C).
    2. Uddin, Gazi Salah & Luo, Tianqi & Yahya, Muhammad & Jayasekera, Ranadeva & Rahman, Md Lutfur & Okhrin, Yarema, 2023. "Risk network of global energy markets," Energy Economics, Elsevier, vol. 125(C).
    3. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).

    More about this item

    Keywords

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    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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