Complex risk contagions among large international energy firms: A multi-layer network analysis

doi:10.1016/j.eneco.2022.106271

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	Complex risk contagions among large international energy firms: A multi-layer network analysis
	Wu, Fei ; Xiao, Xuanqi 3; Zhou, Xinyu ; Zhang, Dayong ; Ji, Qiang 2; Ji, Qiang 2
刊名	ENERGY ECONOMICS
	2022
卷号	114
关键词	Energy firms Multi-layer network Risk contagions Time-varying
ISSN号	0140-9883
DOI	10.1016/j.eneco.2022.106271
文献子类	Article
英文摘要	This paper introduces a multi-layer network approach to explore risk contagions in a sample of top energy firms in the world. Large energy companies play a very important role in the international energy market. Mapping their responses to different types of shocks provides profound implications for understanding how international energy markets work, and could also create significant value for investors in the energy sector. Specifically, we distinguish three layers of risk spillovers, covering return correlations as well as upper tail and lower tail dependence. Through a multi-layer network setting, we identify both within layer linkages and inter-layer linkages. In addition, the dynamic evolution of this network structure is explored through a rolling-window approach, which enables us to evaluate the level of structural stability. Our empirical results unveil three regional clusters and a dynamic power shifting pattern in the international energy sector. Overall, this multi-layer network approach allows us to detect complex risk contagion patterns in financial markets and could be generalized to other scenarios.
WOS关键词	RENEWABLE ENERGY ; VINE COPULAS ; CRUDE-OIL ; VOLATILITY ; PRICE ; US ; CONNECTEDNESS ; CENTRALITY ; PORTFOLIO ; COMPANIES
WOS研究方向	Business & Economics
语种	英语
WOS记录号	WOS:000884596400004
内容类型	期刊论文
源URL	[http://ir.casisd.cn/handle/190111/12035]
专题	系统分析与管理研究所
作者单位	1.Chinese Acad Sci, Inst Sci & Dev, Beijing, Peoples R China 2.Tech Univ Munich, Munich, Germany 3.Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R China
推荐引用方式 GB/T 7714	Wu, Fei,Xiao, Xuanqi,Zhou, Xinyu,et al. Complex risk contagions among large international energy firms: A multi-layer network analysis[J]. ENERGY ECONOMICS,2022,114.
APA	Wu, Fei,Xiao, Xuanqi,Zhou, Xinyu,Zhang, Dayong,Ji, Qiang,&Ji, Qiang.(2022).Complex risk contagions among large international energy firms: A multi-layer network analysis.ENERGY ECONOMICS,114.
MLA	Wu, Fei,et al."Complex risk contagions among large international energy firms: A multi-layer network analysis".ENERGY ECONOMICS 114(2022).