This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during the period 31 March 2019–31 August 2023. They also report heterogeneous patterns in the connectedness between stock indices and volatility indices. The time‐varying spillover effect seems to be strong during the black‐swan events. The variations of volatility connectedness among each volatility index and stock market increasingly depend on unusual stress caused by the outbreak of unexpected events. These finding provide significant guidance for investors seeking to enhance their risk management practices. By leveraging the insights into volatility transmission mechanisms and the roles of different volatility indices, investors can make informed decisions to protect and grow their investments in an increasingly volatile global market.

Purpose: This paper explores the most important determinants of friction in the Tunisian credit market. The previous literature argued that friction is largely explained by the increase in Non-Performing Loans Nkusu, 2011; Abadi et al. 2014; Rulyasri et al.2017, Roland et all, 2013. Research methodology: We constructed a multivariate Vector Error Correction Model, with five macroeconomic variables (industrial production index, the money supply, money market interest rate) to examine the impact of Non-Performing Loans increase in amplifying the Tunisian credit frictions. Results: The Vector Error Correction Model (VECM) regression results show a negative and important relationship between economic growth and Non-Performing Loans (NPL) ratio, which is very robust during the political crisis of 2011. The money market interest rate and the money supply are positively related to the Non-Performing loan ratio. Limitation: This study was only focused on Tunisian banking sector as one of the pillars of the Tunisian economy. Contributions: This highlights that the nature of the monetary policy adopted by the monetary authority of Tunisia plays a significant role in the fluctuation of the Non-Performing Loans ratio. Bank capitalization is positively and statistically significant with Non-Performing Loan ratio, implying that banks with a low level of capital are more likely to have a riskier credit portfolio that causes the increase of Non-Performing Loans in their balance sheet.

The post-COVID era highlights the need for sustainable, resilient economies. This study investigates the interconnectedness between green finance, blue economy indices, clean energy assets, and energy commodities using a TVP-VAR and quantile VAR model from October 2021 to January 2024. Results show high connectedness (90–100%), with clean energy indices (OCEN, GNR) as key transmitters and oil/gas as net receivers, especially during stress periods. Spillover asymmetries across quantiles confirm non-linear risk transmission. Findings inform investors and policymakers on aligning green finance with energy policy, enhancing risk management tools, and promoting global cooperation for a just transition. This framework supports forward-looking, sustainable financial and energy strategies.