Systemic Risk Spillovers in the European Energy Sector

Lupu, Radu; Călin, Adrian Cantemir; Zeldea, Cristina Georgiana; Lupu, Iulia

doi:10.3390/en14196410

Cited by 9 publications

(5 citation statements)

References 59 publications

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“…However, it maintains the objectives of efficient and sustainable capital allocation and the proper functioning of the economy. From this perspective, our results confirm the findings of Adrian and Brunnermeier (2016), Billio et al (2012) and continue the methodological setup from Lupu et al (2020Lupu et al ( , 2021.…”

Section: Discussionsupporting

confidence: 90%

Unveiling the Role of Industries for European Financial Stability. Insights From the Energy Sector

Lupu,

Criste

2024

Journal of Business Economics and Management

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Extensive analysis of intertwinement with other industries caused the energy sector to gain momentum in the recent economic literature. This paper aims to create an indicator that captures the impact of financial stability for energy companies on all other industrial groups. To this end, we use daily data from 2007 until the end of 2021 to compute financial stability metrics for all European companies from the STOXX 600 index. The main contribution of our study is to harness the neural network forecasting power to predict extreme levels of this impact. We motivate this choice with evidence from the literature that documents the improved performance of these methods in predicting crises. Our methodological approach also employs an outlier detection algorithm based on copula (COPOD) to identify situations when the energy sector substantially impacts other industries and develop a framework to predict out-of-sample situations. We found evidence that the Deep Renewal model has superior forecasting accuracy to the standard Croston model. The main conclusion is that the design of this methodological framework allows authorities to monitor the impact of shocks produced by the energy sector on financial stability at the European level and undertake strategic management actions.

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Section: Discussionsupporting

confidence: 90%

Unveiling the Role of Industries for European Financial Stability. Insights From the Energy Sector

Lupu,

Criste

2024

Journal of Business Economics and Management

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“…The pandemic caused by COVID-19 determined the intensification of research on the topic of dynamic volatility spillover between various markets (Chaudhary et al, 2020;Corbet et al, 2021;Jebabli et al, 2021;Lupu et al, 2021;Fasanya et al, 2021;Gherghina et al, 2021). Apostolakis et al (2021) study the dynamic volatility spillover and conclude that on the Greek stock market during COVID-19 there is a higher volatility spillover from mid-cap firms to large cap firms.…”

Section: Volatility Spillover Caused By the Covid-19mentioning

confidence: 99%

Volatility Spillover Between Germany, France, and Cee Stock Markets

Chirilă

2022

Journal of Business Economics and Management

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The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify the possibilities of reduction of a portfolio risk. A special attention is granted to the analysis during the pandemic caused by COVID-19. The time-varying parameter vector autoregressive (TVP-VAR) model on which is based the methodology proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical results obtained for the period January 2001 – September 2021 highlight the increase in volatility spillover between the countries analysed when the pandemic caused by COVID-19 was confirmed. The lack of volatility integration of the markets analysed enables the making of arbitrages in order to reduce the risk of a portfolio. The results obtained are important in the management of financial asset portfolios.

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“…In addition, financial difficulties caused by political instability, sovereign debt insolvency and recessions are spreading very quickly to other countries (Andries , and Galasan 2020; Bot , oc and Anton 2020). Return and volatility spillover in stock markets is a complex topic that has attracted the attention of researchers and allows for studies of the connectedness between economic sectors (Chakrabarty et al 2015;Chirilă et al 2015;Lupu and Lupu 2009;Lupu et al 2021). Volatility spillovers between different categories of financial markets (Antonakakis et al 2018;Yao et al 2022;Gabauer 2021), from the same financial markets in different geographical areas (Škrinjarić 2019; Škrinjarić and Šego 2020) or from different categories of economies (Spulbar et al 2020) are being studied.…”

Section: Introductionmentioning

confidence: 99%

Connectedness between Sectors: The Case of the Polish Stock Market before and during COVID-19

Chirilă

2022

JRFM

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This article studies the connectedness between economic sectors of the Polish stock market. The sectors that are considered are the following: banks, basic materials, chemicals, construction, developers, energy, food, and oil and gas. The analysis of the connectedness among sectors is conducted from a statistical and dynamic perspective. Using the time-varying parameter vector autoregression (TVP-VAR) method, the intensity, direction and variation of volatility spillover between the economic sectors are studied. Two samples are analysed, the first one being from 1 January 2013 to 12 December 2019, which corresponds to the period before the pandemic caused by COVID-19, and the second one being from 1 January 2020 to 2 December 2021, which corresponds to the period during the pandemic. A series of results are obtained. First, the connectedness between the economic sectors varies depends on the time. Second, the connectedness between the sectors was stronger during the crisis caused by the outbreak of COVID-19 rather than before the crisis. The volatility of each sector was also primarily due to their own volatility. Thirdly, the banking sector was the main sector with respect to volatility spillover. The results that are obtained are important for making the right decisions regarding financial stability under crisis circumstances, when considering development strategies for some economic sectors but also in portfolio management for performing diversification and risk-mitigation strategies.

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Systemic Risk Spillovers in the European Energy Sector

Cited by 9 publications

References 59 publications

Unveiling the Role of Industries for European Financial Stability. Insights From the Energy Sector

Unveiling the Role of Industries for European Financial Stability. Insights From the Energy Sector

Volatility Spillover Between Germany, France, and Cee Stock Markets

Connectedness between Sectors: The Case of the Polish Stock Market before and during COVID-19

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