Template-Type: ReDIF-Article 1.0
Author-Name:  Ahmed Khalifa, Massimiliano Caporin, Michele Costola, and Shawkat Hammoudeh
Title:  Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil
Classification-JEL: F0
Volume:  Volume 42
Issue:  Number 6
Year:  2021
Abstract:  We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating ΔCoVaR, we observe the presence of remarkable increases in risk levels during the financial crises and achieve a better risk measurement when oil returns are included in the risk functions. Moreover, the estimated spread between the CoVaR without and with oil returns is absorbed in a time range that is longer than the duration of the oil shocks. This indicates that drops in oil prices which have a longer effect on risk and financial institutions require more time to account for their impact. Policy implications are also provided.
Handle: RePEc:aen:journl:ej42-6-Khalifa
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=3760
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