Systemic risk and oil price volatility shocks

Ioannis Chatziantoniou; Gonul Colak; Michail Filippidis; George Filis; Panagiotis Tzouvanas

doi:10.1016/j.jfs.2025.101432

Systemic risk and oil price volatility shocks

Ioannis Chatziantoniou, Gonul Colak^*, Michail Filippidis, George Filis, Panagiotis Tzouvanas

^*Corresponding author for this work

Finance, Helsinki

Research output: Contribution to journal › Article › Scientific › peer-review

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.

Original language	English
Article number	101432
Peer-reviewed scientific journal	Journal of Financial Stability
Volume	79
ISSN	1572-3089
DOIs	https://doi.org/10.1016/j.jfs.2025.101432
Publication status	Published - 08.2025
MoE publication type	A1 Journal article - refereed

Keywords

512 Business and Management
Demand shocks
Idiosyncratic shocks
Network centrality
Oil price volatility
Supply chain network
Supply-side shocks
Systemic risk

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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title = "Systemic risk and oil price volatility shocks",

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{\textquoteright} systemic risk. Importantly, firms with extensive supply chain networks exacerbate systemic risk when facing demand-driven oil price volatility shocks.",

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year = "2025",

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journal = "Journal of Financial Stability",

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AU - Chatziantoniou, Ioannis

AU - Colak, Gonul

AU - Filippidis, Michail

AU - Filis, George

AU - Tzouvanas, Panagiotis

PY - 2025/8

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N2 - 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.

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KW - 512 Business and Management

KW - Demand shocks

KW - Idiosyncratic shocks

KW - Network centrality

KW - Oil price volatility

KW - Supply chain network

KW - Supply-side shocks

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Systemic risk and oil price volatility shocks

Abstract

Keywords

UN SDGs

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