Title

The impact of the Russia-Ukraine conflict on the connectedness of financial markets

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

8-1-2022

Abstract

We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short- and long-term frequencies, respectively.

ISSN

1544-6131

Publisher

Elsevier BV

Volume

48

First Page

102976

Last Page

102976

Disciplines

Business

Keywords

Geopolitical risk, Russian-Ukrainian conflict, Dynamic connectedness, Time-varying parameter vector autoregression

Indexed in Scopus

no

Open Access

no

Share

COinS