A0520
Title: The systemic risk of US oil and natural gas companies
Authors: Massimiliano Caporin - University of Padova (Italy)
Fulvio Fontini - University of Padua (Italy)
Roberto Panzica - European Commission - Joint Research Centre (Italy) [presenting]
Abstract: The evolution of the systemic risk impact of oil and natural gas companies since 2000 is analyzed. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the Covid-19 pandemic. The price of oil and natural gas showed extreme swings, impacting companies financial situations, which, accompanied by technological developments in shale production, had an impact on debt issuance and the overall risk level of the oil and natural gas sector. By studying the systemic impact of oil and natural gas companies on risk in the financial market, measured by the CoVaR, we observe that in the most recent decade, their role is sensibly increasing compared to 2000-2010, even accounting for the possible effect associated with the increase in companies sizes. In addition, our results show evidence of a decreasing relevance of traditional drivers of systemic risk, suggesting that additional factors might be present. Finally, when focusing on the impact of Covid-19, we document its relevant role in fueling the increase in the oil and natural gas companies' systemic impact.
