The DOI matches its Crossref record.
Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine
Abstract
We evaluate the transmission of returns and volatility in the universe of commodities around the war in Ukraine. The total volatility spillover increases from 35% to 85%, exceeding the level seen during the pandemic. The role of commodities changes in both return and volatility spillover systems. Crude oil becomes a net transmitter of return spillovers whereas wheat and soybeans become net receivers of return spillovers. Silver, gold, copper, platinum, aluminium, and sugar become net transmitters of volatility. Geopolitical risk Granger causes the spillover indices. High levels of return and volatility spillovers are associated with high levels of geopolitical risk.
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Citations
Cited by
Umar, M., Riaz, Y., & Yousaf, I. (2022) · Resources Policy · doi:10.1016/j.resourpol.2022.102966 · Cited by 334
Grain Futures Market Response to the Black Sea Grain Initiative
Steinbach, S., & Yildirim, Y. (2024) · German Journal of Agricultural Economics · doi:10.52825/gjae.v73i2.1343 · Cited by 6
Metadata
- Authors
- Wang, Y., Bouri, E., Fareed, Z., & Dai, Y.
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2022-10
- Volume
- 49
- Pages
- 103066
- ISSN
- 1544-6123 (ISSN-L)
- OpenAlex
- W4282971507
- Cited by
- 330
- References
- 0
- FWCI
- 56.29
- Type
- journal article
- Language
- en
- Open access
- closed
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- Wang, Y., Bouri, E., Fareed, Z., & Dai, Y. (2022). Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine. Finance Research Letters. https://doi.org/10.1016/j.frl.2022.103066
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
