The impact of the Russia-Ukraine conflict on the connectedness of financial markets
Source of Publication
Finance Research Letters
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.
Geopolitical risk, Russian-Ukrainian conflict, Dynamic connectedness, Time-varying parameter vector autoregression
Umar, Zaghum; Polat, Onur; Choi, Sun-Yong; and Teplova, Tamara, "The impact of the Russia-Ukraine conflict on the connectedness of financial markets" (2022). All Works. 5125.
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