The systemic risk of US oil and natural gas companies

We analyse the evolution of systemic risk impact oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: real effect global financial crisis, explosion shale production diffusion Covid-19 pandemic. The price showed extreme swings, impacting companies’ situations, which, accompanied technological developments in production, had an on debt issuance overall level sector. By studying market, measured ΔCoVaR, we observe most recent decade, their role sensibly increasing compared to 2000–2010, even accounting for possible associated with increase sizes. In addition, our results show evidence a decreasing relevance traditional drivers risk, suggesting additional factors might be present. Finally, when focusing Covid-19, document its relevant fuelling impact.