Spillover effects between energy uncertainty and financial risk in the Eurozone banking sector

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-12-06 DOI:10.1016/j.eneco.2024.108082

Vincenzo Pacelli, Caterina Di Tommaso, Matteo Foglia, Maria Melania Povia

引用次数: 0

Abstract

This paper investigates the connection between energy uncertainty and banking credit risk within the Eurozone. To analyze this relationship, we first apply a Bayesian time-varying VAR model to examine how shocks in energy uncertainty influence financial risk. Next, we use the impulse response function to assess how these shocks propagate through the banking sector. Further, long-run Granger causality is employed to investigate the causal pathways of shock transmission. Our empirical findings show clear patterns: banking credit risk increases in response to energy uncertainty shocks. Over time, these shocks show a progressively rising impact on credit risk, highlighting the growing influence of energy uncertainty on the spread of financial risk.

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本文研究了欧元区能源不确定性与银行信贷风险之间的关系。为了分析这种关系，我们首先应用贝叶斯时变 VAR 模型来研究能源不确定性的冲击如何影响金融风险。接下来，我们使用脉冲响应函数来评估这些冲击如何通过银行业传播。此外，我们还利用长期格兰杰因果关系来研究冲击传播的因果途径。我们的实证研究结果显示了清晰的模式：银行业信贷风险会随着能源不确定性冲击而增加。随着时间的推移，这些冲击对信贷风险的影响逐步上升，凸显出能源不确定性对金融风险扩散的影响越来越大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.