Geopolitical shocks and commodity market dynamics: New evidence from the Russia-Ukraine conflict

Joshua Aizenman; Robert Lindahl; David Stenvall; Gazi Salah Uddin

doi:10.1016/j.ejpoleco.2024.102574

Geopolitical shocks and commodity market dynamics: New evidence from the Russia-Ukraine conflict

Joshua Aizenman, Robert Lindahl, David Stenvall, Gazi Salah Uddin

Research output: Contribution to journal › Article › peer-review

29 Scopus citations

Abstract

We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (2%), corn (1%), and European natural gas (7.5%). However, substantial heterogeneity is observed among the agricultural and energy markets. Geopolitical risk stemming from the Russia-Ukraine conflict 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, our analysis explores how geopolitical news affects the dynamics of stock, currency, and bond markets.

Original language	English
Article number	102574
Journal	European Journal of Political Economy
Volume	85
DOIs	https://doi.org/10.1016/j.ejpoleco.2024.102574
State	Published - 1 Dec 2024
Externally published	Yes

Keywords

Commodity markets
Geopolitical shocks
Structural vector autoregression

ASJC Scopus subject areas

Economics and Econometrics
Political Science and International Relations

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10.1016/j.ejpoleco.2024.102574

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title = "Geopolitical shocks and commodity market dynamics: New evidence from the Russia-Ukraine conflict",

abstract = "We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (2\%), corn (1\%), and European natural gas (7.5\%). However, substantial heterogeneity is observed among the agricultural and energy markets. Geopolitical risk stemming from the Russia-Ukraine conflict 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, our analysis explores how geopolitical news affects the dynamics of stock, currency, and bond markets.",

keywords = "Commodity markets, Geopolitical shocks, Structural vector autoregression",

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AU - Aizenman, Joshua

AU - Lindahl, Robert

AU - Stenvall, David

AU - Uddin, Gazi Salah

PY - 2024/12/1

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N2 - We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (2%), corn (1%), and European natural gas (7.5%). However, substantial heterogeneity is observed among the agricultural and energy markets. Geopolitical risk stemming from the Russia-Ukraine conflict 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, our analysis explores how geopolitical news affects the dynamics of stock, currency, and bond markets.

AB - We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (2%), corn (1%), and European natural gas (7.5%). However, substantial heterogeneity is observed among the agricultural and energy markets. Geopolitical risk stemming from the Russia-Ukraine conflict 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, our analysis explores how geopolitical news affects the dynamics of stock, currency, and bond markets.

KW - Commodity markets

KW - Geopolitical shocks

KW - Structural vector autoregression

UR - https://www.scopus.com/pages/publications/85196427749

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DO - 10.1016/j.ejpoleco.2024.102574

M3 - Article

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SN - 0176-2680

VL - 85

JO - European Journal of Political Economy

JF - European Journal of Political Economy

M1 - 102574

ER -

Geopolitical shocks and commodity market dynamics: New evidence from the Russia-Ukraine conflict

Abstract

Keywords

ASJC Scopus subject areas

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