Energy market financialization, integration and systemic risks

Ji, Qiang; Zhang, Dayong; Zhang, ZhongXiang

doi:10.1016/j.eneco.2022.106448

Cited by 6 publications

(2 citation statements)

References 17 publications

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“…Where S denotes the covariance matrix of the disturbance vector ε t , H reflects the forecast period, and h is the lag order of the perturbation term in Eq (7). σ ii is the standard deviation of ε t , the j-th element of e j is 1, the remaining elements are 0, and i,j = 1,� � �� ,N,i6 ¼j.…”

Section: Dy Spillover Indexmentioning

confidence: 99%

“…Temperature changes have exacerbated economic policy uncertainty, and financial generalization caused by the financialization of the real economy, especially the high-carbon sector, has become increasingly prominent [2][3][4][5][6]. The financialization of high-carbon sectors, such as energy and real estate, is prominent [3,7]. Xie et al [4] defined nine submarkets in traditional financial market, real estate, and commodity market as pan-financial market.…”

Section: Introductionmentioning

confidence: 99%

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Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China’s pan-financial market

Jia,

2024

PLoS ONE

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Climate change-induced pan-financial market and the contagion of systemic financial risks are becoming important issues in the financial sector. The paper measures the temperature difference in terms of the degree and direction of deviation of the actual temperature relative to the average temperature of the same historical period. Based on the high-dimensional time-series variable LASSO-VAR-DY framework, we construct a pan-financial market volatility correlation network consisting of 112 Chinese listed companies in banking, insurance, securities, real estate, traditional energy, and new energy, use eigenvector centrality to measure the systematic risk of each firm, and then empirically test the effect of temperature difference on systematic risk under pan-financial market scenario. The results of the study show that (ⅰ) There is a significant difference among the systemic risk of financial sectors such as banking, insurance, and securities in the financial market pan-financial market scenario and the systemic risk when the financial market pan-financial market is not taken into account;(ⅱ) Higher temperature significantly exacerbates systemic financial risk, while colder temperature significantly mitigates systemic risk, but both have an asymmetric effect on systemic risk, and there is sectoral heterogeneity.(ⅲ) From the dynamic evolutionary characteristics, there are significant differences in the response of systemic financial risk to positive and negative temperature shocks;(iv) The results of the systemic risk variance decomposition indicate that the temperature change contributes more to the variance of systemic risk in the banking and securities sectors in pan-financial market;(ⅴ) The contagion source of financial systemic risk shows an obvious path of leaping and changing characteristics, and the contagion source of systemic risk (source of impact) shows the evolution law of "bank → real estate → new energy → temperature difference," which means that the temperature difference has become the contagion source of systemic financial risk. This study provides a reference for preventing and resolving systemic risks under pan-financial market scenario and provides a basis for improving the current macroprudential regulatory framework.

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Section: Dy Spillover Indexmentioning

confidence: 99%