Cryptocurrency Bubble on the Systemic Risk in Global Energy Companies
研究了2014至2021年全球前100家能源企业数据，发现加密货币泡沫的形成和破裂会显著增加能源行业的系统性风险，尤其在泡沫破裂时影响更大，且石油和天然气公司是风险溢出的关键渠道。
Financialization has brought new challenges to the international energy markets, making energy systemic risk a more complicated issue. One of the important features is the development of cryptocurrency, which has become a critical part of the global financial markets. As a consequence, the rise and fall of cryptocurrency can have nonnegligible impacts on the systemic risks in the international energy sector. This paper empirically tests this hypothesis using the equity data of the top 100 energy companies from 2014 to 2021. Specifically, we explore the extreme shocks of cryptocurrency using multiple bubble tests, and then we test to what extent bubbles in cryptocurrency markets can affect systemic risk in the energy sector. Our empirical results show that the formation of cryptocurrency bubbles, especially when the bubbles burst, significantly increases systemic risks in the energy sector.This effect retains the same in the recent COVID-19 pandemic period. In addition, oil and gas companies play an essential channel in the risk spillover from cryptocurrency markets to the international energy markets.