Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine

Yihan Wang, Elie Bouri, Zeeshan Fareed and Yuhui Dai

Finance Research Letters, 2022, vol. 49, issue C

Abstract: We evaluate the transmission of returns and volatility in the universe of commodities around the war in Ukraine. The total volatility spillover increases from 35% to 85%, exceeding the level seen during the pandemic. The role of commodities changes in both return and volatility spillover systems. Crude oil becomes a net transmitter of return spillovers whereas wheat and soybeans become net receivers of return spillovers. Silver, gold, copper, platinum, aluminium, and sugar become net transmitters of volatility. Geopolitical risk Granger causes the spillover indices. High levels of return and volatility spillovers are associated with high levels of geopolitical risk.

Keywords: Commodity returns and volatility; TVP-VAR spillover network; War in Ukraine; COVID-19 outbreak (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002999

DOI: 10.1016/j.frl.2022.103066

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