This study offers empirical evidence indicating the transfer of price bubbles from the oil and gas markets to banking risk following Russia's invasion of Ukraine in February 2022 causing the outburst of a major energy crisis. Against this backdrop, the objective of this paper is threefold. First, we employ the Log-Periodic Power Law Singularity (LPPLS) model, to identify both positive and negative bubbles within the oil, gas, and banking markets, characterized by pronounced price fluctuations. As a second objective, the study employs a bivariate vector autoregression (VAR) model, to analyze the explosive price movements within the oil and gas markets and banking risk using the LPPLS series. To reach the third objective, we apply an autoregressive distributed lag (ARDL) model with cointegration, to scrutinize both the long-run and short-run effects of the oil and gas market on banking risk. The paper contributes to the literature on the predictability of bubbles in oil and gas markets and the shift of the transmission bubbles in other markets.

中文翻译：

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石油和天然气泡沫背景下的银行风险评估

本研究提供了实证证据，表明在 2022 年 2 月俄罗斯入侵乌克兰导致重大能源危机爆发后，价格泡沫从石油和天然气市场转移到银行风险。在这种背景下，本文的目标有三个。首先，我们采用对数周期幂律奇点 （LPPLS） 模型来识别石油、天然气和银行市场中的正泡沫和负泡沫，其特征是价格波动明显。作为第二个目标，该研究采用双变量向量自回归 （VAR） 模型，使用 LPPLS 系列分析石油和天然气市场的爆炸性价格变动和银行风险。为了实现第三个目标，我们应用了具有协整性的自回归分布式滞后 （ARDL） 模型，以仔细研究石油和天然气市场对银行风险的长期和短期影响。本文为有关石油和天然气市场泡沫的可预测性以及其他市场传输泡沫转移的文献做出了贡献。