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Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis

Raynaud, Franck; Lautier, Delphine (2012), Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis, The Energy journal, 33, 3, p. 215-239. http://dx.doi.org/10.5547/01956574.33.3.8

Type
Article accepté pour publication ou publié
External document link
http://halshs.archives-ouvertes.fr/halshs-00738201
Date
2012
Journal name
The Energy journal
Volume
33
Number
3
Publisher
International Association for Energy Economics
Pages
215-239
Publication identifier
http://dx.doi.org/10.5547/01956574.33.3.8
Metadata
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Author(s)
Raynaud, Franck
Lautier, Delphine
Abstract (EN)
This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and intermarket linkages, both within the commodity complex and between commodities and other financial assets. In such a high dimensional analysis, graph theory enables us to understand the dynamic behavior of our price system. We show that energy markets--as a whole--stand at the heart of this system. We also establish that crude oil is itself at the center of the energy complex. Further, we provide evidence that commodity markets have become more integrated over time
Subjects / Keywords
Derivative markets; Energy; Graph theory; High dimensional analysis; Minimum spanning trees; Systemic risk
JEL
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products
C4 - Econometric and Statistical Methods: Special Topics

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