Dynamic volatility transfer in the European oil and gas industry
研究欧洲能源企业沿产业链（上游、中游、下游及综合油气）的波动传导，发现上游企业是主要波动源，而俄罗斯大型综合油气公司在2022年俄乌战争后从波动吸收者转变为重要传导者，对政策制定者和投资者有参考价值。
Abstract The study examines dynamic volatility transmissions among European energy industry participants along the production lines of Upstream, Midstream, Downstream, and Integrated Oil Gas (IOG) segments. Using Diebold-Yilmaz (2012, 2014) spillover index, during the sample period of October 2006 to June 2022, we find significant internal volatility spillover among the European energy sector participants, primarily emanating from Upstream companies. In subsamples, we show that Downstream and Midstream segments can also become volatility transmitters under certain conditions. More importantly, the large Russian IOG companies became significant volatility transmitters after 2022 with the onset of Russia's war on Ukraine, potentially causing major system instability because these IOG firms were traditionally volatility absorbers in the network. Overall, we provide insights about the interconnectedness among European energy companies during normal and extreme market conditions and highlight important system dynamics that could be useful for policy makers and investors.