This paper investigates the connection between energy uncertainty and banking credit risk within the Eurozone. To analyze this relationship, we first apply a Bayesian time-varying VAR model to examine how shocks in energy uncertainty influence financial risk. Next, we use the impulse response function to assess how these shocks propagate through the banking sector. Further, long-run Granger causality is employed to investigate the causal pathways of shock transmission. Our empirical findings show clear patterns: banking credit risk increases in response to energy uncertainty shocks. Over time, these shocks show a progressively rising impact on credit risk, highlighting the growing influence of energy uncertainty on the spread of financial risk.

中文翻译：

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能源不确定性与欧元区银行业金融风险之间的溢出效应


本文研究了欧元区能源不确定性与银行信用风险之间的联系。为了分析这种关系，我们首先应用贝叶斯时变 VAR 模型来研究能源不确定性的冲击如何影响金融风险。接下来，我们使用脉冲响应函数来评估这些冲击如何在银行业传播。此外，采用长期 Granger 因果关系来研究休克传递的因果途径。我们的实证研究结果显示了明确的模式：银行信用风险因能源不确定性冲击而增加。随着时间的推移，这些冲击显示出对信用风险的影响逐渐上升，凸显了能源不确定性对金融风险扩散的影响越来越大。