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How electricity and natural gas prices affect banking systemic risk

Author

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  • Murè, Pina
  • Paccione, Cosimo
  • Marzioni, Stefano
  • Giorgio, Saverio
Abstract
This paper analyzes the impact of energy market conditions, specifically electricity and natural gas prices, on systemic risk in the Euro Area. We adopt the CoVaR methodology introduced by Tobias and Brunnermeier (2016) to analyze shifts in the system’s value at risk, incorporating considerations for electricity and natural gas prices. Our findings reveal that energy-related variables influence systemic risk to a similar extent as other state variables, such as interbank spreads and market volatility. Notably, we find that electricity prices have a more pronounced impact on banks’ risk compared to natural gas prices. Moreover, we observe that the ΔCoVaR serves as a reliable measure of systemic stress conditions when compared to the CISS index established by the ECB. Specifically, the ΔCoVaR developed in this paper, based on data up to the year 2021, anticipates the stress in the system that the CISS index captures in 2022.

Suggested Citation

  • Murè, Pina & Paccione, Cosimo & Marzioni, Stefano & Giorgio, Saverio, 2024. "How electricity and natural gas prices affect banking systemic risk," Research in International Business and Finance, Elsevier, vol. 72(PA).
    • Handle: RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924003039
    DOI: 10.1016/j.ribaf.2024.102510
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    More about this item

    Keywords

    Financial systemic risk; Electricity price; Natural gas price; Quantile regression;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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