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Exploring the impacts of major events on the systemic risk of the international energy market

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This study examines the systemic risk caused by major events in the international energy market(IEM)and proposes a management strategy to mitigate it.Using the tail-event driven network(TENET)method,this study constructed a tail-risk spillover network(TRSN)of IEM and simulated the dynamic spillover tail-risk process through the cascading failure mechanism.The study found that renewable energy markets contributed more to systemic risk during the Paris Agreement and the COVID-19 pandemic,while fossil energy markets played a larger role during the Russia-Ukraine conflict.This study identifies systemically important markets(SM)and critical tail-risk spillover paths as potential sources of systemic risk.The research confirms that cutting off the IEM risk spillover path can greatly reduce systemic risk and the influence of SM.This study offers insights into the management of systemic risk in IEM and provides policy recommendations to reduce the impact of shock events.

International energy marketTail-risk spilloverCascading failure mechanismSystemic risk management

Ming-Tao Zhao、Su-Wan Lu、Lian-Biao Cui

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School of Statistics and Applied Mathematics,Anhui University of Finance and Economics,Bengbu 233030,Anhui,China

Anhui Province Key Laboratory of Philosophy and Social Science of Low-Carbon Development and Carbon Finance,Anhui University of Finance and Economics,Bengbu,233030,Anhui,China

国家自然科学基金国家自然科学基金国家社会科学基金国家社会科学基金Social Science Foundation of the Ministry of Education of China安徽省自然科学基金University Social Science Research Project of Anhui ProvinceUniversity Social Science Research Project of Anhui ProvinceAnhui University of Finance and Economics Graduate Research Innovation Funds

719740017237400122ZDA11219BTJ01421YJAZH0812108085Y242022AH020048SK2020A0051ACYC2021390

2024

10.1016/j.petsci.2023.10.028

石油科学(英文版)
中国石油大学（北京）

石油科学(英文版)

EI
影响因子：0.88
ISSN：1672-5107
年,卷(期)：2024.21(2)
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