|Title: ||Systemic risk for financial institutions in the major petroleum-based economies: The role of oil
||Author(s): ||Khalifa A.
||Keywords: ||Financial institutions; Petroleum-based economies; Systemic risk; ΔCoVaR
||Abstract: ||We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating ΔCoVaR, we observe the presence of remarkable increases in risk levels during the financial crises and achieve a better risk measurement when oil returns are included in the risk functions. Moreover, the estimated spread between the CoVaR without and with oil returns is absorbed in a time range that is longer than the duration of the oil shocks. This indicates that drops in oil prices which have a longer effect on risk and financial institutions require more time to account for their impact. Policy implications are also provided. Copyright
||Issue Date: ||2020
||Publisher: ||International Association for Energy Economics
||Series/Report no.: ||Vol. 42, No. 6
|Appears in Collections:||INTERNATIONAL PUBLICATIONS|