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

Umar Z., POLAT O., Choi S., Teplova T.

Finance Research Letters, cilt.48, 2022 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 48
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1016/j.frl.2022.102976
  • Dergi Adı: Finance Research Letters
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Anahtar Kelimeler: Dynamic connectedness, Geopolitical risk, Russian-Ukrainian conflict, Time-varying parameter vector autoregression
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Evet

Özet

© 2022We 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.