Does the source of oil price shocks matter for the systemic risk?

被引：22
作者：
Ouyang, Zi-sheng [1 ,2 ]
Liu, Meng-tian [2 ]
Huang, Su-su [2 ]
Yao, Ting [2 ,3 ]
机构：
[1] Hunan Normal Univ, Sch Business, Changsha 410081, Peoples R China
[2] Hunan Univ Technol & Business, Coll Sci, Changsha 410205, Hunan, Peoples R China
[3] Hunan Univ Technol & Business, Key Lab Digital Econ & High Qual Dev, Changsha 410205, Hunan, Peoples R China
来源：
ENERGY ECONOMICS | 2022年 / 109卷
关键词：
Oil price shocks; Systemic risk; Quantile regression; Crises; STOCK RETURNS; MARKET; COMMODITY; RESPONSES; IMPACTS; NEWS; BOND;
D O I：
10.1016/j.eneco.2022.105958
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the impact of different oil price shocks on systemic risk under different market conditions. We show that the negative impact of negative oil price shocks on systemic risk is greater than the positive impact of positive oil price shocks. Systemic risk is always negatively affected by oil-specific demand shocks but positively affected by oil supply shocks when the market is under medium and low systemic risk levels. By testing the effect of crises, we find that the influence of positive and negative oil price shocks on systemic risk was declined due to the COVID-19 pandemic.
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页数：11
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