In recent years, the worsening global geopolitical conditions have led investors and policy makers to become increasingly concerned about systemic risk in the global energy market. However, the existing literature has little empirical evidence on this problem from a geopolitical perspective. Based on an Elastic-Net-VAR model for depicting high-dimensional left-tail interdependence, this paper measures time-varying systemic risk spillovers among 212 energy firms in 36 countries. Then, a panel data model is established to examine the impact of geopolitical risk (GPR) on risk spillovers. Our results indicate that the GPR of a country directly intensifies the risk spillovers of the country's energy firms, as well as spreads to other countries based on geographic proximity and energy trade flows and indirectly intensifies the risk spillovers of the energy firms in these countries. Specifically, the indirect effects of GPR are more pronounced than the direct effects for fossil fuel firms, in oil-consuming countries, and during stable periods in global geopolitics. Moreover, the potential firm-level mechanisms through which GPR intensifies risk spillovers are declines in asset turnover, deceleration in corporate investment, and negative market forecasts. These findings can help to mitigate the adverse effects of GPR on energy firm performance, national energy security, and stability in the global energy market.

中文翻译：

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全球能源企业之间的系统性风险溢出效应：地缘政治风险重要吗？


近年来，不断恶化的全球地缘政治状况导致投资者和政策制定者越来越担心全球能源市场的系统性风险。然而，从地缘政治的角度来看，现有文献对这个问题的实证证据很少。本文基于描述高维左尾相互依赖性的 Elastic-Net-VAR 模型，测量了 36 个国家/地区 212 家能源公司的时变系统性风险溢出效应。然后，建立了面板数据模型来检查地缘政治风险 （GPR） 对风险溢出的影响。我们的结果表明，一个国家的 GPR 直接加剧了该国能源公司的风险溢出，并根据地理位置接近和能源贸易流动传播到其他国家，间接加剧了这些国家能源公司的风险溢出。具体来说，GPR 的间接影响比对化石燃料公司、石油消费国以及全球地缘政治稳定时期的直接影响更明显。此外，GPR 加剧风险溢出的潜在企业层面机制是资产周转率下降、企业投资减速和负面市场预测。这些发现有助于减轻 GPR 对能源公司绩效、国家能源安全和全球能源市场稳定性的不利影响。