Second-order moment risk connectedness across climate and geopolitical risk and global commodity markets

Ameet Kumar Banerjee

Economics Letters, 2024, vol. 235, issue C

Abstract: Extant literature has visited the impact of climate and geopolitical risk (GPR) on cross-market linkages. However, it falls short in examining the risk of spillover in the commodity market during wartime and natural disasters. Using the second moment, we look into the risk spillover and connectedness between climate and geopolitical risk and commodity market and highlight that climate and geopolitical risk are net transmitters of shocks in the network. The results also show the loss of hedging abilities of precious metals against GPR. These findings are significant for policy and for the investors.

Keywords: Climate risk; Geopolitical risk; Commodity markets; Risk spillovers (search for similar items in EconPapers)
JEL-codes: C5 G11 G12 G19 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:235:y:2024:i:c:s0165176524000351

DOI: 10.1016/j.econlet.2024.111551

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