Stochastic ordering of systemic risk in commodity markets

被引:6
作者
Morelli, Giacomo [1 ]
机构
[1] Sapienza Univ Rome, Dept Stat Sci, I-00185 Rome, Italy
关键词
Systemic risk; Commodity markets; Stochastic ordering; CoVaR; VIX; CONDITIONAL HETEROSKEDASTICITY; CAPITAL SHORTFALL; CO-MOVEMENT; ENERGY; OIL; VOLATILITY; FUTURES; DEPENDENCE; PRICES; GARCH;
D O I
10.1016/j.eneco.2022.106446
中图分类号
F [经济];
学科分类号
02 ;
摘要
The contribution of commodity risks to the systemic risk is assessed in this paper through a novel approach that relies on the stochastic property of concordance ordering of CoVaR. Considering the period that spans from 2005 to 2022 and the VIX as the proxy for the stability of the financial system, we build the stochastic ordering of systemic risk for 35 commodities belonging to four sectors: Agriculture, Energy, Industrial Metals, and Precious Metals. The estimates of the Delta CoVaR signal that contagion effects from commodity markets to the financial system have been stronger during the years 2017-2019. Backtests validate CoVaR as a more resilient risk measure than the VaR, especially during periods of market turmoils. The stochastic ordering of CoVaR shows that severe losses (downside risk) in commodity markets tend to exacerbate systemic financial distress more than gains (upside risk). Commodity risks arising from WTI and EUA are threatening triggers for systemic risk. In contrast, the financial system is less vulnerable to a broader range of scenarios arising from fluctuations in Gold prices. As top contributors to the systemic risk, among the sectors we find Energy and Precious Metals with respect to upside risk and downside risk. The Covid-19 crisis has deeply amplified the systemic influence arising from the downside risk of WTI, Gasoline, and Natural Gas UK and has confirmed the safe-haven role of Gold.
引用
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页数:16
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