The systemic risk of US oil and natural gas companies
分析了2000年以来美国石油和天然气公司系统性风险的变化，发现近十年其风险影响显著上升，且传统风险驱动因素的作用减弱，新冠疫情进一步加剧了风险。
We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. 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 the debt issuance and on 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 ΔCoVaR, 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 fuelling the increase in the oil and natural gas companies’ systemic impact.