4.7 Article

Asymmetric effects of geopolitical risk on major currencies: Russia-Ukraine tensions

Related references

Note: Only part of the references are listed.
Article Thermodynamics

Examining the behaviour of energy prices to COVID-19 uncertainty: A quantile on quantile approach

Khalid Khan et al.

Summary: The energy market is highly vulnerable to pandemic uncertainty, with energy prices experiencing a significant decline. The impact on oil prices is greater compared to natural gas and heating oil prices.

ENERGY (2022)

Article Business, Finance

Geopolitical risks and historical exchange rate volatility of the BRICS

Afees A. Salisu et al.

Summary: The study examines the predictability of geopolitical risks on exchange rate volatility of the BRICS using historical and recent GPR data. The analysis shows that recent GPR data has a greater impact on BRICS exchange rates compared to historical data, with contrasting evidence between global and country-specific GPR data. Additionally, accounting for GPR in the valuation of foreign exchange portfolios can lead to out-of-sample economic gains.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2022)

Article Economics

Measuring Geopolitical Risk

Dario Caldara et al.

Summary: This paper presents a news-based measure of adverse geopolitical events and their risks. The geopolitical risk index is particularly high during significant historical events such as world wars, the Korean War, the Cuban Missile Crisis, and after 9/11. Higher geopolitical risk leads to lower investment and employment, as well as increased probability of disasters and larger downside risks. This risk is driven by both the threat and occurrence of adverse geopolitical events. Industry- and firm-level indicators also show that investment declines more in industries exposed to geopolitical risk, and higher firm-level geopolitical risk is associated with lower investment.

AMERICAN ECONOMIC REVIEW (2022)

Article Economics

The impact of the Ukraine-Russia war on world stock market returns

Whelsy Boungou et al.

Summary: Using stock returns data from 94 countries globally between 22 January and 24 March 2022, this study finds a negative relationship between the Ukraine-Russia war and world stock market returns, providing the first empirical evidence for this.

ECONOMICS LETTERS (2022)

Article Business, Finance

Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine

Barbara Bedowska-Sojka et al.

Summary: The study found that different asset classes exhibit varying levels of sensitivity to geopolitical risk, with bonds and stocks showing strong coherence over longer periods while currencies are affected more in shorter periods. Among these asset classes, green bonds, gold, silver, Swiss franc, and real estate are the most resistant to risk fluctuations.

FINANCE RESEARCH LETTERS (2022)

Article Economics

ASEAN-5 forex rates and crude oil: Markov regime-switching analysis

Mukhriz Izraf Azman Aziz et al.

Summary: Demand shocks appreciate forex rates for both net oil-producing and net oil-consuming economies, while supply-driven moves in oil prices have a marginal influence on forex rates for most countries. Risk shocks have depreciating effects on the ASEAN-5 exchange rates, indicating that the open-oriented nature of these economies makes them susceptible to constant fluctuations in the global oil market.

APPLIED ECONOMICS (2022)

Article Business, Finance

Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

Zaghum Umar et al.

Summary: The impact of geopolitical risk generated by the Russian-Ukrainian conflict on European and Russian financial assets is examined. The findings suggest that there is a mixed relationship between most assets and geopolitical risk, with changes in asset returns during normal market conditions. The magnitude and direction of this effect depend on the type of market and market conditions.

FINANCE RESEARCH LETTERS (2022)

Article Business, Finance

Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine

Sabri Boubaker et al.

Summary: Using an event study methodology, this study examines the impact of the 2022 Russian invasion of Ukraine on global stock markets. The research finds that this invasion generated negative cumulative abnormal returns for global stock market indices, with varying effects across countries and regions. The study reveals that higher levels of economic globalization, as measured by GDP-scaled trade, are associated with lower event-day and post-event returns. Additionally, markets of NATO countries exhibited higher returns, consistent with the expected economic stimulus of military preparedness.

FINANCE RESEARCH LETTERS (2022)

Article Business, Finance

The reaction of G20+stock markets to the Russia-Ukraine conflict black-swan event: Evidence from event study approach

Imran Yousaf et al.

Summary: This paper examines the impact of the conflict between Russia and Ukraine on the G20 and other selected stock markets using the event study approach. The study reveals a strong negative impact of the conflict on the majority of stock markets, especially on the Russian market. The analysis shows that different countries' stock markets had varying degrees of negative returns before and after the conflict broke out.

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE (2022)

Article

Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale

Sana Gaied Chortane et al.

Journal of Economic Asymmetries (2022)

Article Business, Finance

The Impacts of the Russia-Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets

Md. Kausar Alam et al.

Summary: The conflict between Russia and Ukraine has had significant impact on global commodity and financial markets. Gold, silver, and the stock markets of the United States, Canada, China, and Brazil have been most affected. This research provides policy implications for commodity and stock investors, aiding decision-making in turbulent situations.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2022)

Article Business, Finance

Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis

Liya Hau et al.

Summary: This study employs quantile-on-quantile regression to investigate the predictive power of transaction activity on Bitcoin returns, uncovering asymmetric predictive relationships between transaction activity and Bitcoin returns under different market conditions. The findings suggest that strategies based on transaction activity should be tailored to Bitcoin market performance.

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2021)

Article Physics, Multidisciplinary

Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices

Muhammad Abubakr Naeem et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2020)

Article Business, Finance

Oil prices, US stock return, and the dependence between their quantiles

Nicholas Sim et al.

JOURNAL OF BANKING & FINANCE (2015)