Economic knock-on effects of Russia's geopolitical risk on advanced economies: A global VAR approach

Boris Blagov, Maximilian Dirks and Michael Funke

No 1061, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: Using Russia as a case study and a global VAR model as a methodological tool, we analyze how heightened geopolitical risk shocks propagate across advanced economies and quantify the economic effects of these events. The global VAR impulse response functions in response to the skyrocketing Russian geopolitical risk shock after Russia's invasion of Ukraine revealed a contraction of GDP and an increase in inflation. Eastern European neighboring countries are particularly affected by the Russian geopolitical risk shock. We also document a strong component of the Russian geopolitical risk shock that is not driven by fossil fuel prices.

Keywords: Geopolitical risk; international business cycle transmission; global VAR model; Russia (search for similar items in EconPapers)
JEL-codes: C32 E32 F51 F52 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-cis, nep-opm, nep-rmg and nep-tra
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Working Paper: Economic Knock-On Effects of Russia’s Geopolitical Risk on Advanced Economies: A Global VAR Approach (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwirep:282988

DOI: 10.4419/96973231

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