 Tail risk spillover and systemic importance among fossil energy markets: Evidence from chinaHuike Zheng, Chiyuan Gao and Jing Deng The North American Journal of Economics and Finance, 2025, vol. 79, issue C Abstract: 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. Keywords: Fossil energy; Tail risk spillover; Systemic importance; Extreme events (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825001019 DOI: 10.1016/j.najef.2025.102461 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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