期刊
FINANCE RESEARCH LETTERS
卷 49, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2022.103066
关键词
Commodity returns and volatility; TVP-VAR spillover network; War in Ukraine; COVID-19 outbreak
资金
- Jiangsu Modern Finance and Taxation Collaborative Innovation Center, China [20WTB005]
- Jiangsu Social Science Fund, China [21HQ011]
- FCT -Fundacao para a Ciencia e a Tecnologia, Portugal [UIDP/04011/2020]
- Fundação para a Ciência e a Tecnologia [UIDP/04011/2020] Funding Source: FCT
This study evaluates the transmission of returns and volatility in the commodities market during the war in Ukraine. It finds that the overall volatility spillover increases significantly, with geopolitical risk being the main factor affecting the spillover indices.
We evaluate the transmission of returns and volatility in the universe of commodities around the war in Ukraine. The total volatility spillover increases from 35% to 85%, exceeding the level seen during the pandemic. The role of commodities changes in both return and volatility spillover systems. Crude oil becomes a net transmitter of return spillovers whereas wheat and soybeans become net receivers of return spillovers. Silver, gold, copper, platinum, aluminium, and sugar become net transmitters of volatility. Geopolitical risk Granger causes the spillover indices. High levels of return and volatility spillovers are associated with high levels of geopolitical risk.
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