Geopolitical Shocks And Commodity Market Dynamics: New Evidence From The Russian-Ukraine Conflict / Joshua Aizenman, Robert Lindahl, David Stenvall, Gazi Salah Uddin.

By:

Aizenman, Joshua

Contributor(s):

Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w31950.Publication details: Cambridge, Mass. National Bureau of Economic Research 2023.Description: 1 online resource: illustrations (black and white)Subject(s):

Other classification:

Online resources:

Available additional physical forms:

Hardcopy version available to institutional subscribers

Abstract: We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on selected agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (3%) and European natural gas (12%). However, substantial heterogeneity is observed among the food and energy markets. Geopolitical risk affects the European natural gas market more strongly than the US and Asian markets. The regional segment of natural gas markets could explain this. Finally, the dynamics of the impacts of geopolitical news are analyzed in the stock, currency, and bond markets.

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w31950 (Browse shelf(Opens below))	Not For Loan

Total holds: 0

December 2023.

We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on selected agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (3%) and European natural gas (12%). However, substantial heterogeneity is observed among the food and energy markets. Geopolitical risk affects the European natural gas market more strongly than the US and Asian markets. The regional segment of natural gas markets could explain this. Finally, the dynamics of the impacts of geopolitical news are analyzed in the stock, currency, and bond markets.