TIME-VARYING FREQUENCY CONNECTEDNESS ANALYSIS ACROSS CRUDE OIL, GEOPOLITICAL RISK, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKETS

Jin Shang () and Shigeyuki Hamori
Additional contact information
Jin Shang: Graduate School of Economics, Kobe University, 2-1 Rokkodai-cho, Nada-ku, Kobe 657-8501, Japan

The Singapore Economic Review (SER), 2025, vol. 70, issue 01, 3-71

Abstract: As the world is currently in turmoil, geopolitical crises and economic policy uncertainties are increasing significantly. This study aims to provide insight into the dynamics of time–frequency spillovers in the domains of crude oil, geopolitical risk, economic policy uncertainty and stock markets. It represents the first investigation analyzing the time-varying frequency connectedness across the aforementioned domains by adopting the time-varying parameter vector autoregression connectedness combined with the time-varying frequency connectedness measurement [Chatziantoniou et al., 2023]. The study covers the period from January 2004 to February 2023, including the 2008 financial crisis, the COVID-19 pandemic and the turmoil caused by the 2022 Russian–Ukrainian conflict. The analysis finds that short-term frequencies dominate return connectedness, indicating a rapid information processing mechanism responsive to short-run shocks. The stock market indices of oil-exporting countries, the US and the UK act as the primary transmitters of return spillovers. Volatility connectedness is driven by long-term frequencies, with Russia, Canada and the UK serving as the primary volatility spillover transmitters. Economic policy uncertainty is primarily influenced by oil-importing countries. Geopolitical risk mostly serves as the spillover receiver from crude oil, while it primarily transmits spillovers to economic policy uncertainty during major events such as terror attacks, conflicts and wars. The 2022 Russian–Ukrainian conflict amplifies spillovers to economic policy uncertainty. Intriguingly, conflicts deepen economic policy uncertainty, and prior to the conflict, stock market volatility had assimilated the influence of geopolitical risk shocks. The study also employs network topology to visualize spillover transmission mechanisms during the 2022 Russian–Ukrainian conflict.

Keywords: Stock market; crude oil; geopolitical risk; economic policy uncertainty; oil-exporting; oil-importing; time-frequency TVP-VAR; network topology; COVID-19; Russian-Ukrainian; financial crisis (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217590824500085
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:serxxx:v:70:y:2025:i:01:n:s0217590824500085

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217590824500085

Access Statistics for this article

The Singapore Economic Review (SER) is currently edited by Euston Quah

More articles in The Singapore Economic Review (SER) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().