There is no doubt that oil price shocks significantly affect oil-producing countries' macroeconomic fundamentals and financial stability, mainly in crisis times. The recent oil price shocks, coupled with the COVID-19 pandemic, motivated us to investigate the connectedness and risk transmission among oil shocks and banking sectors in the Gulf Cooperation Council (GCC) economies from June 30, 2006, to September 9, 2021. Thus, we construct multilayer information spillover networks between oil price shocks and GCC banking sectors. The empirical results show that the Bahrain banking sector depicts the highest connectedness and risk transmission with oil price shocks on the extreme risk spillover layer. In addition, Kuwait and the United Arab Emirates are highly connected to oil demand shocks. Furthermore, we find a substantial increase in extreme risk spillover and volatility spillover layers during the COVID-19 period. The results of this paper have some important implications for regional portfolio risk management, alleviating systemic risk, and developing hedging and investment strategies.

毫无疑问，油价冲击对产油国的宏观经济基本面和金融稳定有重大影响，主要是在危机时期。最近的油价冲击，加上 COVID-19 大流行，促使我们调查了 2006 年 6 月 30 日至 2021 年 9 月 9 日期间海湾合作委员会 (GCC) 经济体中石油冲击与银行业之间的联系和风险传递。因此，我们构建了油价冲击与 GCC 银行业之间的多层信息溢出网络。实证结果表明，巴林银行业在极端风险溢出层上描绘了与油价冲击的最高关联性和风险传递。此外，科威特和阿拉伯联合酋长国与石油需求冲击密切相关。此外，我们发现在 COVID-19 期间，极端风险溢出和波动溢出层大幅增加。本文的结果对区域投资组合风险管理、缓解系统性风险以及制定对冲和投资策略具有重要意义。