石油和天然气泡沫背景下的银行风险评估

IF 13.6 2区 经济学 Q1 ECONOMICS
Stefano Dell'Atti , Andrea Paltrinieri , Caterina Di Tommaso , Grazia Onorato
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引用次数: 0

摘要

该研究提供了经验证据,表明在俄罗斯于2022年2月入侵乌克兰导致重大能源危机爆发后,价格泡沫从石油和天然气市场转移到银行风险。在此背景下,本文的目的有三个方面。首先,我们采用对数周期幂律奇点(LPPLS)模型来识别石油、天然气和银行市场中的正泡沫和负泡沫,其特征是明显的价格波动。作为第二个目标,该研究采用了一个二元向量自回归(VAR)模型,使用LPPLS系列来分析石油和天然气市场的爆炸性价格波动和银行风险。为了达到第三个目标,我们采用协整的自回归分布滞后(ARDL)模型来仔细研究石油和天然气市场对银行风险的长期和短期影响。本文对油气市场泡沫的可预测性和其他市场中传输泡沫的转移的文献有所贡献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Assessment of banking risk in the context of the oil and gas bubbles
This study offers empirical evidence indicating the transfer of price bubbles from the oil and gas markets to banking risk following Russia's invasion of Ukraine in February 2022 causing the outburst of a major energy crisis. Against this backdrop, the objective of this paper is threefold. First, we employ the Log-Periodic Power Law Singularity (LPPLS) model, to identify both positive and negative bubbles within the oil, gas, and banking markets, characterized by pronounced price fluctuations. As a second objective, the study employs a bivariate vector autoregression (VAR) model, to analyze the explosive price movements within the oil and gas markets and banking risk using the LPPLS series. To reach the third objective, we apply an autoregressive distributed lag (ARDL) model with cointegration, to scrutinize both the long-run and short-run effects of the oil and gas market on banking risk. The paper contributes to the literature on the predictability of bubbles in oil and gas markets and the shift of the transmission bubbles in other markets.
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来源期刊
Energy Economics
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.
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