Quantifying the geopolitical risk resilience of commodity futures markets

Jie Yang, Hao Yang and Yun Feng

Economics Letters, 2025, vol. 247, issue C

Abstract: This paper focuses on the resilience of commodity futures markets specific to shocks of geopolitical risks. Our time-varying resilience measurement stems from the TVP-VAR model. The results show that not all precious metals are resilient to geopolitical disturbances, and only gold does. Nature gas appears to have the worst resilience, and WTI's resilience is enormously unstable. Utilizing the measured resilience to evaluate the security level of commodity markets is beneficial and promising to regulators.

Keywords: Geopolitical risks; Commodity futures markets; Resilience (search for similar items in EconPapers)
JEL-codes: C32 C51 Q43 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000096

DOI: 10.1016/j.econlet.2025.112172

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