The impact of the Russia-Ukraine conflict on the connectedness of financial markets

Zaghum Umar, Onur Polat, Sun-Yong Choi and Tamara Teplova

Finance Research Letters, 2022, vol. 48, issue C

Abstract: We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short- and long-term frequencies, respectively.

Keywords: Geopolitical risk; Russian-Ukrainian conflict; Dynamic connectedness; Time-varying parameter vector autoregression (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002252

DOI: 10.1016/j.frl.2022.102976

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