The impact of the Russia-Ukraine conflict on the connectedness of financial markets
- Authors
- Umar, Zaghum; Polat, Onur; Choi, Sun-Yong; Teplova, Tamara
- Issue Date
- Aug-2022
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Geopolitical risk; Russian-Ukrainian conflict; Dynamic connectedness; Time-varying parameter vector autoregression
- Citation
- FINANCE RESEARCH LETTERS, v.48
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 48
- URI
- https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/85438
- DOI
- 10.1016/j.frl.2022.102976
- ISSN
- 1544-6123
- 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.
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