Conditional capital surplus and shortfall across renewable and non-renewable resource firms

Denny Irawan, Tatsuyoshi Okimoto

研究成果: Article査読

抄録

This study examines the conditional capital surplus and shortfall dynamics of renewable and non-renewable resource firms. To this end, this study uses the systemic risk index by Brownlees and Engle (2017) and considers two conditional systemic events, namely, a stock market crash and a commodity price crash. The results indicate that generally, companies in the resource sector tend to have conditional capital shortfall before 2000 and conditional capital surplus after 2000 owing to the boom of the commodity sector stocks and moderate capital structure management adopted by these companies. This finding is especially valid for resource firms in developed countries, whose observations dominate the dataset used in this study. Furthermore, the analysis using the panel vector autoregressive model indicates a positive influence of commodity price and geopolitical uncertainties on the conditional capital shortfall. These uncertainties have also been proven to increase the conditional failure probability of resource firms in the sample. Lastly, the performance analysis shows that potential capital shortfall is positively related to market returns, reflecting a high-risk high-return trade-off for the resource sector.

本文言語English
論文番号106092
ジャーナルEnergy Economics
112
DOI
出版ステータスPublished - 2022 8月

ASJC Scopus subject areas

  • 経済学、計量経済学
  • エネルギー(全般)

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