Petroleum Science >2024,??Issue2:??- DOI: https://doi.org/10.1016/j.petsci.2023.10.028
Exploring the impacts of major events on the systemic risk of the international energy market Open?Access
文章信息
作者：Ming-Tao Zhao, Su-Wan Lu, Lian-Biao Cui
作者單位：
投稿時間：
引用方式：Ming-Tao Zhao, Su-Wan Lu, Lian-Biao Cui, Exploring the impacts of major events on the systemic risk of the international energy market, Petroleum Science, Volume 21, Issue 2, 2024, Pages 1444-1457, https://doi.org/10.1016/j.petsci.2023.10.028.
文章摘要
Abstract: This study examines the systemic risk caused by major events in the international energy market (IEM) and proposes a management strategy to mitigate it. Using the tail-event driven network (TENET) method, this study constructed a tail-risk spillover network (TRSN) of IEM and simulated the dynamic spillover tail-risk process through the cascading failure mechanism. The study found that renewable energy markets contributed more to systemic risk during the Paris Agreement and the COVID-19 pandemic, while fossil energy markets played a larger role during the Russia-Ukraine conflict. This study identifies systemically important markets (SM) and critical tail-risk spillover paths as potential sources of systemic risk. The research confirms that cutting off the IEM risk spillover path can greatly reduce systemic risk and the influence of SM. This study offers insights into the management of systemic risk in IEM and provides policy recommendations to reduce the impact of shock events.
關鍵詞
-
Keywords: International energy market; Tail-risk spillover; Cascading failure mechanism; Systemic risk management