Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach

Riadh Aloui, Sami Ben Jabeur, Hichem Rezgui and Wissal Ben Arfi

Resources Policy, 2023, vol. 85, issue PB

Abstract: In this study, we investigated the effects of geopolitical risk (GPR) on commodity future returns by computing the conditional value at risk (CoVaR) and delta CoVaR using time-varying and static bivariate copula models. Our results indicate that there is generally a positive dependence between commodity returns and changes in GPR. Empirical evidence also suggests that there are only upside risk spillovers from GPR to commodity markets. The delta CoVaR results locate the greatest systemic risk in heating oil and maize commodities. Future research avenues, as well as policy and practical implications, are outlined.

Keywords: Commodity; Tail risk spillover; Systemic risk; Copulas; Delta-coVaR; CoVaR (search for similar items in EconPapers)
JEL-codes: C58 F37 G17 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420723005846
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005846

DOI: 10.1016/j.resourpol.2023.103873

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().