Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203309
Authors: 
Khalifa, Ahmed
Caporin, Massimiliano
Costola, Michele
Hammoudeh, Shawkat
Year of Publication: 
2017
Series/Report no.: 
SAFE Working Paper No. 172
Abstract: 
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and global financial crises. The results provide evidence in favour of a better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR and the CoVaR that includes oil is absorbed in a time range that is longer than the duration of the oil shocks. This indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial institutions. To support the analysis, we consider other major market-based systemic risk measures.
Subjects: 
Systemic risk
risk measurement
VaR
ΔCoVaR
oil
financial institutions
petroleum-based economies
JEL: 
C22
C58
G01
G17
G20
G21
G32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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