Does the source of oil price shocks matter for the systemic risk?

This paper investigates the impact of different oil price shocks on systemic risk under different market conditions. We show that the negative impact of negative oil price shocks on systemic risk is greater than the positive impact of positive oil price shocks. Systemic risk is always negatively affected by oil-specific demand shocks but positively affected by oil supply shocks when the market is under medium and low systemic risk levels. By testing the effect of crises, we find that the influence of positive and negative oil price shocks on systemic risk was declined due to the COVID-19 pandemic. © 2022 Elsevier B.V.