Geopolitical shocks and commodity market dynamics: New evidence from the Russia-Ukraine conflict

Joshua Aizenman, Robert Lindahl, David Stenvall and Gazi Salah Uddin

European Journal of Political Economy, 2024, vol. 85, issue C

Abstract: We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (2%), corn (1%), and European natural gas (7.5%). However, substantial heterogeneity is observed among the agricultural and energy markets. Geopolitical risk stemming from the Russia-Ukraine conflict affects the European natural gas market more strongly than the US and Asian markets. The regional segment of natural gas markets could explain this. Finally, our analysis explores how geopolitical news affects the dynamics of stock, currency, and bond markets.

Keywords: Geopolitical shocks; Commodity markets; Structural vector autoregression (search for similar items in EconPapers)
JEL-codes: F30 F50 G10 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:poleco:v:85:y:2024:i:c:s0176268024000764

DOI: 10.1016/j.ejpoleco.2024.102574

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