The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach

Pınar Evrim Mandaci, Asil Azimli and Nazif Mandaci

Resources Policy, 2023, vol. 85, issue PA

Abstract: This study examines the impact of global geopolitical risk on connectedness among major natural resource commodities. We implemented a Quantile Vector Autoregressive connectedness estimation approach from 5 January 2010 to 3 March 2023, including many geopolitical turbulences, such as the Russian-Ukrainian war. We found high connectedness under both extraordinarily high and low return conditions. The extreme return shocks in metals tended to spillover to energy commodities. The spillover index peaked during important economic, political, and financial developments. In addition, geopolitical risk drives connectedness among natural resources commodities under average market conditions. Our results may help investors with portfolio optimization and risk management practices and guide policymakers toward attaining financial market stability.

Keywords: Natural resources; Commodities; Geopolitical risk; Connectedness (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006682

DOI: 10.1016/j.resourpol.2023.103957

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