Chatziantoniou, I., Colak, G., Filippidis, M., Filis, G. and Tzouvanas, P. 2025. Systemic risk and oil price volatility shocks. Journal of Financial Stability. 79 101432. https://doi.org/10.1016/j.jfs.2025.101432
| Title | Systemic risk and oil price volatility shocks |
|---|---|
| Type | Journal article |
| Authors | Chatziantoniou, I., Colak, G., Filippidis, M., Filis, G. and Tzouvanas, P. |
| Abstract | 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. |
| Article number | 101432 |
| Journal | Journal of Financial Stability |
| Journal citation | 79 |
| ISSN | 1572-3089 |
| Year | 2025 |
| Publisher | Elsevier |
| Publisher's version | License CC BY 4.0 File Access Level Open (open metadata and files) |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.jfs.2025.101432 |
| Web address (URL) | https://doi.org/10.1016/j.jfs.2025.101432 |
| Publication dates | |
| Published online | 28 Jun 2025 |
| Published in print | Aug 2025 |