1. Exploring the impacts of major events on the systemic risk of the international energy market.
- Author
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Ming-Tao Zhao, Su-Wan Lu, and Lian-Biao Cui
- Subjects
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SYSTEMIC risk (Finance) , *ENERGY industries , *INTERNATIONAL markets , *EXPORT marketing , *RUSSIAN invasion of Ukraine, 2022- - Abstract
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. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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