Pub Date : 2025-06-06DOI: 10.1016/j.najef.2025.102471
Daisuke Ida
This study explores how the real money balance effect (RMBE) affects the neo-Fisherian effect (NFE) in a standard new Keynesian (NK) model. Our main findings are summarized as follows. First, the presence of the RMBE can partly explain the occurrence of the NFE. Furthermore, increasing the nonseparability parameter in the utility function magnifies the nominal interest rate’s positive response to a persistent inflation target shock. Second, the degree of nominal price stickiness is important in explaining how the RMBE amplifies the NFE. Third, introducing inflation inertia into the Phillips curve eliminates the NFE.
{"title":"The neo-Fisherian effect in a new Keynesian model with real money balances","authors":"Daisuke Ida","doi":"10.1016/j.najef.2025.102471","DOIUrl":"10.1016/j.najef.2025.102471","url":null,"abstract":"<div><div>This study explores how the real money balance effect (RMBE) affects the neo-Fisherian effect (NFE) in a standard new Keynesian (NK) model. Our main findings are summarized as follows. First, the presence of the RMBE can partly explain the occurrence of the NFE. Furthermore, increasing the nonseparability parameter in the utility function magnifies the nominal interest rate’s positive response to a persistent inflation target shock. Second, the degree of nominal price stickiness is important in explaining how the RMBE amplifies the NFE. Third, introducing inflation inertia into the Phillips curve eliminates the NFE.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102471"},"PeriodicalIF":3.8,"publicationDate":"2025-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144240424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-05DOI: 10.1016/j.najef.2025.102468
Alberto Bucci , Riccardo Calcagno , Simone Marsiglio , Tiago Neves Sequeira
Financial literacy has gained momentum in the policy arena and several countries are currently promoting it. Despite the undeniable importance of financial literacy in improving the allocation of savings across alternative uses, the impact of these policies on economic growth is not obvious. Indeed, financial literacy is a specialized form of human capital, thus favoring financial education may deter general education eventually generating detrimental effects on growth. This paper relies on an endogenous growth framework where human capital can be employed to accumulate financial literacy to assess the conditions under which the current policy setting may be beneficial in the long run. Our calibration based on the US economy over the 1950–2019 period shows that this may effectively be the case if the impact of financial literacy on the allocational efficiency of the financial sector is sufficiently strong.
{"title":"Financial literacy, human capital and long-run economic growth","authors":"Alberto Bucci , Riccardo Calcagno , Simone Marsiglio , Tiago Neves Sequeira","doi":"10.1016/j.najef.2025.102468","DOIUrl":"10.1016/j.najef.2025.102468","url":null,"abstract":"<div><div>Financial literacy has gained momentum in the policy arena and several countries are currently promoting it. Despite the undeniable importance of financial literacy in improving the allocation of savings across alternative uses, the impact of these policies on economic growth is not obvious. Indeed, financial literacy is a specialized form of human capital, thus favoring financial education may deter general education eventually generating detrimental effects on growth. This paper relies on an endogenous growth framework where human capital can be employed to accumulate financial literacy to assess the conditions under which the current policy setting may be beneficial in the long run. Our calibration based on the US economy over the 1950–2019 period shows that this may effectively be the case if the impact of financial literacy on the allocational efficiency of the financial sector is sufficiently strong.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102468"},"PeriodicalIF":3.8,"publicationDate":"2025-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144254058","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-04DOI: 10.1016/j.najef.2025.102469
Nils Herger
To test whether stock-market prices follow a random walk, the algebraic signs of their returns have been analyzed like a sequence of coin tosses. Similar to coin tosses, which represent Bernoulli trials with equiprobable outcomes, signed returns lend themselves for a simple runs test for randomness. However, stock-market prices typically comprise an unobserved trend implying that even under pure randomness positive and negative returns are not necessarily equally probable. Therefore, it is difficult to infer the behavior of stock-market prices from the traditional runs test. Fortunately, the von Neumann algorithm allows to transform tosses of a potentially unfair coin, meaning that it could suffer from an unknown bias, into equiprobable outcomes. This is done by tossing the coin twice and retaining only the first observation when different outcomes arise. Applying the same “trick” to pairs across a sequence of signed stock-market returns paves the way for a runs test that is robust to the effects of constant, unobserved trends.
{"title":"A runs test for stock-market prices with an unobserved trend","authors":"Nils Herger","doi":"10.1016/j.najef.2025.102469","DOIUrl":"10.1016/j.najef.2025.102469","url":null,"abstract":"<div><div>To test whether stock-market prices follow a random walk, the algebraic signs of their returns have been analyzed like a sequence of coin tosses. Similar to coin tosses, which represent Bernoulli trials with equiprobable outcomes, signed returns lend themselves for a simple runs test for randomness. However, stock-market prices typically comprise an unobserved trend implying that even under pure randomness positive and negative returns are not necessarily equally probable. Therefore, it is difficult to infer the behavior of stock-market prices from the traditional runs test. Fortunately, the von Neumann algorithm allows to transform tosses of a potentially unfair coin, meaning that it could suffer from an unknown bias, into equiprobable outcomes. This is done by tossing the coin twice and retaining only the first observation when different outcomes arise. Applying the same “trick” to pairs across a sequence of signed stock-market returns paves the way for a runs test that is robust to the effects of constant, unobserved trends.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102469"},"PeriodicalIF":3.8,"publicationDate":"2025-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144254059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-02DOI: 10.1016/j.najef.2025.102466
Lu Li, Degao Li, Li Liu, Linjun Tang
Value-at-Risk (VaR) and Expected Shortfall (ES), as two essential tools for risk management, have received widespread attention for their ability to provide financial institutions with a quantitative measure of potential losses. This paper considers a mixed-frequency quantile regression model to enhance the accuracy of VaR and ES predictions. We propose a multi-step estimation procedure based on penalized quantile regression methods and establish a goodness-of-fit test using a bootstrap approach. Simulation studies demonstrate that the Elastic Net penalized quantile regression performs well in identifying significant lags in time series data with high correlations, and our proposed bootstrap testing approach performs effectively. Empirical results from three representative Asian stock markets indicate that our methods achieve high accuracy in VaR and ES predictions.
{"title":"Forecasting Value-at-Risk and Expected Shortfall using penalized quantile regressions with mixed-frequency data","authors":"Lu Li, Degao Li, Li Liu, Linjun Tang","doi":"10.1016/j.najef.2025.102466","DOIUrl":"10.1016/j.najef.2025.102466","url":null,"abstract":"<div><div>Value-at-Risk (VaR) and Expected Shortfall (ES), as two essential tools for risk management, have received widespread attention for their ability to provide financial institutions with a quantitative measure of potential losses. This paper considers a mixed-frequency quantile regression model to enhance the accuracy of VaR and ES predictions. We propose a multi-step estimation procedure based on penalized quantile regression methods and establish a goodness-of-fit test using a bootstrap approach. Simulation studies demonstrate that the Elastic Net penalized quantile regression performs well in identifying significant lags in time series data with high correlations, and our proposed bootstrap testing approach performs effectively. Empirical results from three representative Asian stock markets indicate that our methods achieve high accuracy in VaR and ES predictions.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102466"},"PeriodicalIF":3.8,"publicationDate":"2025-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144240425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-29DOI: 10.1016/j.najef.2025.102476
Klaus Grobys
This study diverges from earlier research by utilizing power-law functions to model realized variances in crude oil prices and analyzing these functions across various time scales. The findings reveal several key insights. First, uncertainty in crude oil markets exhibits fractal-like properties, manifested in scale invariant power-law behavior. Second, the estimated power-law exponent demonstrates invariance in the intertemporal dimension, a result confirmed through the test for total invariance, which did not reject the hypothesis of total invariance in power-law behavior. Third, the study provides evidence that the variance of crude oil price variance is statistically infinite, rendering sample variance estimates inherently context-dependent. Fourth, in contrast to earlier literature supporting the lognormal model, the findings decisively reject the lognormal model as a valid data-generating process for realized crude oil price variances across all time scales. These results have significant theoretical and practical implications. The fractal properties and infinite variance challenge conventional assumptions about crude oil market dynamics, while the rejection of the lognormal model highlights the need for alternative frameworks in modeling and risk management.
{"title":"Is energy risk scale Invariant? evidence from crude oil futures","authors":"Klaus Grobys","doi":"10.1016/j.najef.2025.102476","DOIUrl":"10.1016/j.najef.2025.102476","url":null,"abstract":"<div><div>This study diverges from earlier research by utilizing power-law functions to model realized variances in crude oil prices and analyzing these functions across various time scales. The findings reveal several key insights. First, uncertainty in crude oil markets exhibits fractal-like properties, manifested in scale invariant power-law behavior. Second, the estimated power-law exponent demonstrates invariance in the intertemporal dimension, a result confirmed through the test for total invariance, which did not reject the hypothesis of total invariance in power-law behavior. Third, the study provides evidence that the variance of crude oil price variance is statistically infinite, rendering sample variance estimates inherently context-dependent. Fourth, in contrast to earlier literature supporting the lognormal model, the findings decisively reject the lognormal model as a valid data-generating process for realized crude oil price variances across all time scales. These results have significant theoretical and practical implications. The fractal properties and infinite variance challenge conventional assumptions about crude oil market dynamics, while the rejection of the lognormal model highlights the need for alternative frameworks in modeling and risk management.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102476"},"PeriodicalIF":3.8,"publicationDate":"2025-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144203091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A growing frequency of natural catastrophes due to global climate change has confronted insurance companies with massive compensation claims and substantial stock price risk. The catastrophe equity put options provide a means to manage such risks. As stock markets usually exhibit volatility clustering, volatility may increase significantly. This article establishes a GARCH model for global climate change to characterize the dynamic process of insurance companies’ stock prices. The incomplete market requires an Esscher transform, a specific risk-neutral probability measure that serves to price the CatEPut. The empirical analysis identifies that the inverse-Gaussian distribution for each catastrophe loss and the random walk with positive drift for the arrival rate of catastrophes perform the best in terms of goodness-of-fit. The sensitivity analysis results illustrate that global climate change, the catastrophe intensity, and the systematic/unsystematic catastrophe risk constitute important factors for determining the CatEPut price.
{"title":"Catastrophe risk with global climate change determines the price of catastrophe equity puts","authors":"Ming-Che Chuang , Hong-Chih Huang , Shih-Feng Huang , Shih-Kuei Lin","doi":"10.1016/j.najef.2025.102473","DOIUrl":"10.1016/j.najef.2025.102473","url":null,"abstract":"<div><div>A growing frequency of natural catastrophes due to global climate change has confronted insurance companies with massive compensation claims and substantial stock price risk. The catastrophe equity put options provide a means to manage such risks. As stock markets usually exhibit volatility clustering, volatility may increase significantly. This article establishes a GARCH model for global climate change to characterize the dynamic process of insurance companies’ stock prices. The incomplete market requires an Esscher transform, a specific risk-neutral probability measure that serves to price the CatEPut. The empirical analysis identifies that the inverse-Gaussian distribution for each catastrophe loss and the random walk with positive drift for the arrival rate of catastrophes perform the best in terms of goodness-of-fit. The sensitivity analysis results illustrate that global climate change, the catastrophe intensity, and the systematic/unsystematic catastrophe risk constitute important factors for determining the CatEPut price.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102473"},"PeriodicalIF":3.8,"publicationDate":"2025-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144240423","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-28DOI: 10.1016/j.najef.2025.102464
Wei-Ming Lee , Shue-Jen Wu
This paper investigates the predictive power of -month oil price changes (characterizing oil market trends) for the U.S. bear stock market. We find from both in-sample and out-of-sample evaluations that -month oil price changes with can strongly predict the bear stock market, but conventional oil predictors fail to have predictive power. In particular, a higher current oil price relative to its level months ago will induce a higher probability of bear stock market in the future and the 48-month oil price change performs best at most of the forecast horizons considered. These results are robust to different subsamples, oil price series, estimation schemes for out-of-sample analysis, and phases of the business cycle. Moreover, the information provided by the 48-month oil price change covers that of inflation rate and does not completely overlap with that provided (individually or jointly) by non-oil predictors so that forecast improvement can be achieved by taking it into account.
{"title":"Do oil price changes contain useful predictive information about the U.S. bear stock market?","authors":"Wei-Ming Lee , Shue-Jen Wu","doi":"10.1016/j.najef.2025.102464","DOIUrl":"10.1016/j.najef.2025.102464","url":null,"abstract":"<div><div>This paper investigates the predictive power of <span><math><mi>κ</mi></math></span>-month oil price changes (characterizing oil market trends) for the U.S. bear stock market. We find from both in-sample and out-of-sample evaluations that <span><math><mi>κ</mi></math></span>-month oil price changes with <span><math><mrow><mi>κ</mi><mo>></mo><mn>12</mn></mrow></math></span> can strongly predict the bear stock market, but conventional oil predictors fail to have predictive power. In particular, a higher current oil price relative to its level <span><math><mi>κ</mi></math></span> months ago will induce a higher probability of bear stock market in the future and the 48-month oil price change performs best at most of the forecast horizons considered. These results are robust to different subsamples, oil price series, estimation schemes for out-of-sample analysis, and phases of the business cycle. Moreover, the information provided by the 48-month oil price change covers that of inflation rate and does not completely overlap with that provided (individually or jointly) by non-oil predictors so that forecast improvement can be achieved by taking it into account.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102464"},"PeriodicalIF":3.8,"publicationDate":"2025-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-27DOI: 10.1016/j.najef.2025.102472
Gabriel Caldas Montes , João Dantas
The relationship between fiscal rules and monetary policy, particularly their impact on interest rates, remains underexplored in international empirical literature. To address this gap, we examine whether adopting fiscal rules – and specific types of rules – enhances monetary policy flexibility, enabling lower interest rates. We also assess whether inflation serves as a transmission channel between fiscal rules and interest rates. Our study covers 82 countries (49 developing and 33 developed) from 1993 to 2019, analyzing the full sample and sub-samples based on economic development and inflation-targeting policies. We distinguish between national and supranational fiscal rules, as well as different rule types (debt, budget, expenditure, and revenue). The findings indicate that fiscal rules contribute to lower interest rates, with expenditure rules playing a crucial role across all samples. Budget rules also show significance. Additionally, inflation serves as a key transmission mechanism linking fiscal rules to interest rates.
{"title":"Fiscal rules, inflation and monetary policy: International evidence","authors":"Gabriel Caldas Montes , João Dantas","doi":"10.1016/j.najef.2025.102472","DOIUrl":"10.1016/j.najef.2025.102472","url":null,"abstract":"<div><div>The relationship between fiscal rules and monetary policy, particularly their impact on interest rates, remains underexplored in international empirical literature. To address this gap, we examine whether adopting fiscal rules – and specific types of rules – enhances monetary policy flexibility, enabling lower interest rates. We also assess whether inflation serves as a transmission channel between fiscal rules and interest rates. Our study covers 82 countries (49 developing and 33 developed) from 1993 to 2019, analyzing the full sample and sub-samples based on economic development and inflation-targeting policies. We distinguish between national and supranational fiscal rules, as well as different rule types (debt, budget, expenditure, and revenue). The findings indicate that fiscal rules contribute to lower interest rates, with expenditure rules playing a crucial role across all samples. Budget rules also show significance. Additionally, inflation serves as a key transmission mechanism linking fiscal rules to interest rates.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102472"},"PeriodicalIF":3.8,"publicationDate":"2025-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144189362","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-24DOI: 10.1016/j.najef.2025.102475
Ching-Chi Hsu , Wei-Che Tsai
This study investigates the spillover effects of clean energy risks and economic policy uncertainty on the stability of the equity market. We use dependence dynamics through copulas with regime switching to analyze the dependence pattern of the spillover effects and the stability of the equity market. The dependence dynamics model results reveal the existence of asymmetric dependence between these factors, with the impact of the spillover effect on the stability of the equity market being more pronounced in the high-dependence regime. To test our findings, we formulate an investment strategy to facilitate an investigation of investment efficiency and profitability. Our performance test results confirm that our investment strategy outperforms, producing a high ratio of investment efficiency. Our research indicates that an unstable economic policy environment can increase clean energy risks, ultimately having spillover effects on the stability of the equity market. Our study provides references for policy regulators to design or adjust their energy policies and a guide for investors to make strategic investment decisions to avoid clean energy risks.
{"title":"Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis","authors":"Ching-Chi Hsu , Wei-Che Tsai","doi":"10.1016/j.najef.2025.102475","DOIUrl":"10.1016/j.najef.2025.102475","url":null,"abstract":"<div><div>This study investigates the spillover effects of clean energy risks and economic policy uncertainty on the stability of the equity market. We use dependence dynamics through copulas with regime switching to analyze the dependence pattern of the spillover effects and the stability of the equity market. The dependence dynamics model results reveal the existence of asymmetric dependence between these factors, with the impact of the spillover effect on the stability of the equity market being more pronounced in the high-dependence regime. To test our findings, we formulate an investment strategy to facilitate an investigation of investment efficiency and profitability. Our performance test results confirm that our investment strategy outperforms, producing a high ratio of investment efficiency. Our research indicates that an unstable economic policy environment can increase clean energy risks, ultimately having spillover effects on the stability of the equity market. Our study provides references for policy regulators to design or adjust their energy policies and a guide for investors to make strategic investment decisions to avoid clean energy risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102475"},"PeriodicalIF":3.8,"publicationDate":"2025-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-23DOI: 10.1016/j.najef.2025.102461
Huike Zheng, Chiyuan Gao, Jing Deng
Understanding how risks are transferred between fossil energy markets is essential to promoting China’s sustainable growth as climate change and the energy transition shake these markets. This study uses the CoVaR approach to build a tail risk network with a focus on the fossil energy industry in China. We then use the PageRank algorithm to determine which institutions and industries within this network are systemically important. Furthermore, we look into how exogenous shocks from extreme occurrences can dynamically transmit tail risk spillovers in the market. The empirical results show that risk spillovers within China’s fossil fuel system vary over time. This study provides new insights into fossil energy markets that can assist investors in spreading investment risks and regulators in creating effective policies by examining the various risk transmission mechanisms among fossil energy markets of three crises: the COVID-19 pandemic, the Sino-US trade war, and the Russia–Ukraine conflict.
{"title":"Tail risk spillover and systemic importance among fossil energy markets: Evidence from china","authors":"Huike Zheng, Chiyuan Gao, Jing Deng","doi":"10.1016/j.najef.2025.102461","DOIUrl":"10.1016/j.najef.2025.102461","url":null,"abstract":"<div><div>Understanding how risks are transferred between fossil energy markets is essential to promoting China’s sustainable growth as climate change and the energy transition shake these markets. This study uses the CoVaR approach to build a tail risk network with a focus on the fossil energy industry in China. We then use the PageRank algorithm to determine which institutions and industries within this network are systemically important. Furthermore, we look into how exogenous shocks from extreme occurrences can dynamically transmit tail risk spillovers in the market. The empirical results show that risk spillovers within China’s fossil fuel system vary over time. This study provides new insights into fossil energy markets that can assist investors in spreading investment risks and regulators in creating effective policies by examining the various risk transmission mechanisms among fossil energy markets of three crises: the COVID-19 pandemic, the Sino-US trade war, and the Russia–Ukraine conflict.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"79 ","pages":"Article 102461"},"PeriodicalIF":3.8,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144131315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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