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CORE: A climate and energy integrated risk contribution framework for the OECD and its subgroups

Author

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  • R, Pooja
  • Dutta, Sumanjay
  • Kayal, Parthajit

Abstract

This study proposes a novel empirical framework, CORE (Climate, Energy, and Risk Contribution across the OECD), to quantify systemic financial risk. Using monthly data from 2000 to 2024, we construct a GDP-weighted systemic risk index and develop return-based measures of country-level systemic risk contribution and turnover. The analysis incorporates key climate, energy, and demographic indicators, with Principal Component Analysis applied to address multicollinearity through a composite Energy Impact Factor. Applying a set of panel econometric methods to the OECD and key subgroups (G7, Nordic countries, and emerging markets), we document substantial heterogeneity in climate–energy risk transmission. Precipitation increases systemic risk in advanced economies, while temperature effects vary across regions. The Energy Impact Factor amplifies systemic risk in emerging markets but mitigates it in Nordic economies. Overall, the study extends systemic risk measurement to a macro-level, climate-energy-integrated framework, offering original indices and comparative evidence relevant for climate-aware financial stability monitoring.

Suggested Citation

  • R, Pooja & Dutta, Sumanjay & Kayal, Parthajit, 2026. "CORE: A climate and energy integrated risk contribution framework for the OECD and its subgroups," Structural Change and Economic Dynamics, Elsevier, vol. 78(C), pages 343-355.
    • Handle: RePEc:eee:streco:v:78:y:2026:i:c:p:343-355
    DOI: 10.1016/j.strueco.2026.04.003
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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises

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