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

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

Finance Research Letters, vol.48, 2022 (SSCI, Scopus) identifier

  • Publication Type: Article / Article
  • Volume: 48
  • Publication Date: 2022
  • Doi Number: 10.1016/j.frl.2022.102976
  • Journal Name: Finance Research Letters
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Keywords: Dynamic connectedness, Geopolitical risk, Russian-Ukrainian conflict, Time-varying parameter vector autoregression
  • Bilecik Şeyh Edebali University Affiliated: Yes

Abstract

© 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.