系统性风险与油价波动冲击

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2025-06-28 DOI:10.1016/j.jfs.2025.101432

Ioannis Chatziantoniou , Gonul Colak , Michail Filippidis , George Filis , Panagiotis Tzouvanas

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引用次数: 0

摘要

我们使用美国公司的大型面板数据集检验了不同类型的油价波动冲击对公司系统性风险的影响。石油价格波动冲击是由于石油供需的变化，或由于石油价格的特殊波动而发生的。我们的研究结果表明，供给驱动或特殊的油价波动冲击降低了系统性风险，而需求驱动的冲击具有相反的效果。大盘股和高贝塔系数公司放大了油价波动冲击对公司系统性风险的影响。重要的是，当面临需求驱动的油价波动冲击时，拥有广泛供应链网络的公司会加剧系统性风险。

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Systemic risk and oil price volatility shocks

We examine the impact of different types of oil price volatility shocks on firm’s systemic risk using a large panel dataset of US firms. Oil price volatility shocks occur due to changes in supply or demand for oil, or through idiosyncratic fluctuations of oil prices. Our findings indicate that the supply-driven or idiosyncratic oil price volatility shocks reduce systemic risk, whereas demand-driven shocks have the opposite effect. Large-cap and high-beta firms amplify the impact of oil price volatility shocks on firms’ systemic risk. Importantly, firms with extensive supply chain networks exacerbate systemic risk when facing demand-driven oil price volatility shocks.

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.