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Network Topology of Dynamic Credit Default Swap Curves of Energy Firms and the Role of Oil Shocks
Energy Journal ; 43(Special Issue):117-142, 2022.
Article in English | Scopus | ID: covidwho-2030265
ABSTRACT
Using network analysis on the connectedness of default factors in a credit default swap (CDS) dataset of U.S. and European energy firms, we provide the first evidence of differences in the shape and dynamics of the interconnectedness of the level, slope, and curvature, representing long-, short-and middle-term default factors, respectively. The interconnectedness of the three default factors increases during the European sovereign debt crisis (ESDC), whereas only the interconnect-edness of the level factor increases during the oil price crash, and the interconnect-edness of both level and slope factors spikes during COVID19. European firms contribute more to the transmission of long-term and short-term default risk from early 2011 till the beginning of the 2014–2105 oil price crash;afterwards, U.S. firms are major default transmitters despite some periods of parity with European firms. The impacts of oil demand and supply shocks on the various interconnect-edness are quantile-dependent and more pronounced in the long term for the credit risk of the energy firms. © 2022 by the IAEE. All rights reserved.
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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Energy Journal Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Energy Journal Year: 2022 Document Type: Article