This work studies the interconnections between financial risks, oil price and TFP, exploring how oil and financial shocks affect productivity, and how technology moves from one country to another when oil shocks and financial frictions are factored in. Using data on the US, Germany, and France, we estimate a state‐space model with time‐varying parameters. Our results show that only after the second half of the 2000s, the effect of oil shocks on TFP was negative and statistically significant in France and the US. The sensitivity of financial frictions has decreased over time for the US, while there is an upward trend for France and Germany. Finally, exploring the technological spillover effects, we provide evidence that the US was ahead of France and Germany‐in the aftermath of the crisis‐and France was ahead of Germany‐in the first half of 2000s.