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 1; Zhou, Xinyu ; Zhang, Dayong ; Ji, Qiang2 ; Ji, Qiang2
发表期刊	ENERGY ECONOMICS
关键词	Energy firms Multi-layer network Risk contagions Time-varying
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.
	2022
卷号	114
ISSN	0140-9883
文章类型	Article
DOI	10.1016/j.eneco.2022.106271
关键词[WOS]	RENEWABLE ENERGY ; VINE COPULAS ; CRUDE-OIL ; VOLATILITY ; PRICE ; US ; CONNECTEDNESS ; CENTRALITY ; PORTFOLIO ; COMPANIES
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000884596400004
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/12035
专题	系统分析与管理研究所
作者单位	1.Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R China 2.Tech Univ Munich, Munich, Germany 3.Chinese Acad Sci, Inst Sci & Dev, Beijing, 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).