Spillovers from the Russia-Ukraine conflict

Yajie Yang, Longfeng Zhao, Yipin Zhu, Lin Chen, Gangjin Wang and Chao Wang

Research in International Business and Finance, 2023, vol. 66, issue C

Abstract: We investigate dynamic integration and risk transmission among major global financial markets around the Russia-Ukraine conflict by implementing the TVP-VAR frequency model for both a high and a low-frequency band. We also employ wavelet coherence to supplement our analysis. Results show that (i) the global financial system is highly connected during the entire period, and the dynamic spillovers reach unprecedented heights on the day of the Russia-Ukraine conflict; (ii) Russia comes out as a spillover leader, whereas the geopolitical risk index, Dow Jones Commodity, and Bitcoin are the major targets of spillovers; and (iii) for the entire sample period, short-term connectedness gains much prominence. This study uncovers the real landscape of financial spillover effects of the Russia-Ukraine conflict, which can help investors and policymakers manage the risk exposure and avoid unexpected losses.

Keywords: Russia-Ukraine conflict; TVP-VAR; Risk spillover network; Frequency connectedness (search for similar items in EconPapers)
JEL-codes: G11 G15 G32 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001320

DOI: 10.1016/j.ribaf.2023.102006

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