"The systemic risk of US oil and natural gas companies"

In this novel contribution, the authors Massimiliano Caporin (Department of Statistics, University of Padua), Fulvio Fontini (Department of Economics and Management, University of Padua) and Roberto Panzica (European Commission, Joint Research Centre) analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. By studying the systemic impact of oil and natural gas companies on risk in the financial market, measured by the Delta-CoVaR, they observe that in the most recent decade, their role is sensibly increasing compared to 2000–2010, even accounting for the possible effect associated with the increase in companies’ sizes. In addition, their results show evidence of a decreasing relevance of traditional drivers of systemic risk, suggesting that additional factors might be present. Finally, when focusing on the impact of Covid-19, they document its relevant role in fuelling the increase in the oil and natural gas companies’ systemic impact.

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