Systemic risk and oil price volatility shocks
研究不同类型油价波动冲击对美国企业系统性风险的影响，发现供给驱动或特质性冲击降低风险，而需求驱动冲击则相反，且供应链网络会放大后者的影响。
We examine the impact of different types of oil price volatility shocks on firm’s systemic risk using a large panel dataset of US firms. Oil price volatility shocks occur due to changes in supply or demand for oil, or through idiosyncratic fluctuations of oil prices. Our findings indicate that the supply-driven or idiosyncratic oil price volatility shocks reduce systemic risk, whereas demand-driven shocks have the opposite effect. Large-cap and high-beta firms amplify the impact of oil price volatility shocks on firms’ systemic risk. Importantly, firms with extensive supply chain networks exacerbate systemic risk when facing demand-driven oil price volatility shocks.