电力和天然气价格如何影响银行系统性风险

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-08-03 DOI:10.1016/j.ribaf.2024.102510

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引用次数: 0

摘要

本文分析了能源市场条件（特别是电力和天然气价格）对欧元区系统性风险的影响。我们采用了 Tobias 和 Brunnermeier（2016 年）引入的 CoVaR 方法来分析系统风险价值的变化，并纳入了对电力和天然气价格的考虑。我们的研究结果表明，能源相关变量对系统风险的影响程度与银行间利差和市场波动等其他状态变量类似。值得注意的是，我们发现与天然气价格相比，电价对银行风险的影响更为明显。此外，我们还发现，与欧洲央行制定的 CISS 指数相比，ΔCoVaR 是衡量系统性压力状况的可靠指标。具体来说，本文基于截至 2021 年的数据开发的 ΔCoVaR 预计了 CISS 指数在 2022 年捕捉到的系统压力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

How electricity and natural gas prices affect banking systemic risk

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How electricity and natural gas prices affect banking systemic risk

This paper analyzes the impact of energy market conditions, specifically electricity and natural gas prices, on systemic risk in the Euro Area. We adopt the $C o V a R$ methodology introduced by Tobias and Brunnermeier (2016) to analyze shifts in the system’s value at risk, incorporating considerations for electricity and natural gas prices. Our findings reveal that energy-related variables influence systemic risk to a similar extent as other state variables, such as interbank spreads and market volatility. Notably, we find that electricity prices have a more pronounced impact on banks’ risk compared to natural gas prices. Moreover, we observe that the $Δ C o V a R$ serves as a reliable measure of systemic stress conditions when compared to the CISS index established by the ECB. Specifically, the $Δ C o V a R$ developed in this paper, based on data up to the year 2021, anticipates the stress in the system that the CISS index captures in 2022.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance