Complex risk contagions among large international energy firms: A multi-layer network analysis
文献类型：期刊论文
| 作者 | Wu, Fei; Xiao, Xuanqi1; Zhou, Xinyu; Zhang, Dayong; Ji, Qiang3; Ji, Qiang3 |
| 刊名 | ENERGY ECONOMICS
 |
| 出版日期 | 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 |
| 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.Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R China 2.Chinese Acad Sci, Inst Sci & Dev, Beijing, Peoples R China 3.Tech Univ Munich, Munich, Germany |
| 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). |
入库方式： OAI收割
来源：科技战略咨询研究院
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