Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources

Li, Songsong; Zhang, Weiqian; Zhang, Wei

doi:10.1016/j.resourpol.2023.103554

Cited by 27 publications

(2 citation statements)

References 58 publications

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“…Salisu et al (2023) emphasized the predictive value of GPR in the global financial cycle (GFCy) [38]. Li et al (2023) found that GPR affects the cost of natural resources, which are necessary for a healthy economy and way of life [39]. Agyei (2023) investigated the asymmetric relationship between stock markets and the GPRs of seven leading emerging economies in a dispute between Russia and Ukraine.…”

Section: Literaturementioning

confidence: 99%

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Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Panazan,

Gheorghe

2024

Mathematics

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This study investigates co-movements between the GPR generated by the Crimean Peninsula’s annexation in 2014, the Russia–Ukraine war in 2022, and the volatility of stock markets in the G7 states. Using wavelet analysis, concentrated co-movement was found for all indices in both periods. Contrary to the general perception, we find that the G7 financial market response in 2014 was robust. Using a time-varying parameter vector autoregression (TVP-VAR) test, we found a larger reaction in the amplitude of the G7 financial markets in 2022 than in 2014. The financial markets in France, Germany, and the UK showed a similar reaction in 2022. We have identified some common aspects, even if the political and military contexts of the two studied events were completely different. Our findings offer new and interesting implications for understanding how geopolitical risk affects financial assets for market participants with multiple investment horizons and strategies.

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Section: Literaturementioning

confidence: 99%

“…One such method involves a variance-covariance duality analysis using the Kalman filter designed by Koop and Korobilis (2014) and a lag length of order one [80]. This method establishes the spillover effect between the G7 states has been used in other similar studies [33,35,39,40,61,81]. The TVP-VAR test uses the following equations [82]:…”

Section: Robustnessmentioning

confidence: 99%