Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/268937 
Year of Publication: 
2022
Series/Report no.: 
JRC Working Papers in Economics and Finance No. 2022/11
Publisher: 
European Commission, Ispra
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.
Subjects: 
Systemic risk
Oil and Natural Gas
Fossil Fuel
Energy
JEL: 
Q43
Q40
G10
C21
C58
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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