Russia–Ukraine Conflict, Commodities and Stock Market: A Quantile VAR Analysis

Alberto Manelli, Roberta Pace and Maria Leone ()
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Alberto Manelli: Department of Management, Polytechnic University of Marche, Piazzale Martelli 8, 60121 Ancona, Italy
Roberta Pace: Department of Industrial and Information Engineering and Economics, University of L’Aquila, Via G. Mezzanotte, 67100 L’Aquila, Italy
Maria Leone: Department of Management, Polytechnic University of Marche, Piazzale Martelli 8, 60121 Ancona, Italy

JRFM, 2024, vol. 17, issue 1, 1-11

Abstract: The Russia–Ukrainian war, which began in 2014 and exploded with the invasion of the Russian army on 24 February 2022, has profoundly destabilized the political, economic and financial balance of Europe and beyond. To the humanitarian emergency associated with every war has been added the deep crisis generated by the strong energy and food dependence that many European countries, and not only European, have developed over decades on Ukraine (especially for wheat) and Russia (especially for natural gas). The aim of this article is to verify the existence of a link between the performance of the Eurostoxx index and the price of wheat futures and TTF natural gas, from 25 February 2019 to 28 September 2023. Through a quantile VAR analysis, a link is sought between the Eurostoxx 50 index, and wheat and TTF gas futures prices. Furthermore, the analysis intends to understand whether the presence of such relationship only manifested itself following the war events, or whether it was already present in the market. The analysis carried out also shows that the relationship between the stock market and raw material prices was present even before the conflict.

Keywords: Russia–Ukraine war; stock market; commodities; quantile VAR analysis (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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