How Russian-Ukrainian geopolitical risks affect Chinese commodity and financial markets?

Min Wang and Yuquan Su

Finance Research Letters, 2023, vol. 56, issue C

Abstract: In this paper, we explore whether and how the Russian-Ukrainian conflict impact Chinese commodity and financial markets. For this purpose, we use the connectedness method based on time-varying parameter vector autoregression (TVP-VAR) model to measure the time and frequency domains dynamic connectedness among ten commodity markets and five financial markets. The empirical findings include: (i) the total connectedness increased due to the conflict, but the impact of Russia-Ukrainian conflict is weaker than that brought about by COVID-19 epidemic; (ii) the Russia-Ukrainian conflict affects the stability of Chinese commodity and financial systems mainly by affecting Chinese commodity markets, especially by increasing risks in energy, chemical and grain markets; (iii) the conflict increased short-term connectedness more and has weaker impact on long-term connectedness, and the increase in short-term connectedness is mainly attributable to the increased risk of crude oil and chemical commodities, while the increase in long-term connectedness is not only attributable to the increased risk of crude oil and chemical commodities, but also related to the increased risk of grain commodities.

Keywords: Chinese commodity markets; Chinese financial markets; Dynamic connectedness; Russian-Ukrainian conflict (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005512

DOI: 10.1016/j.frl.2023.104179

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