TY - JOUR
T1 - Spillovers from the Russia-Ukraine conflict
AU - Yang, Yajie
AU - Zhao, Longfeng
AU - Zhu, Yipin
AU - Chen, Lin
AU - Wang, Gangjin
AU - Wang, Chao
N1 - Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/10
Y1 - 2023/10
N2 - We investigate dynamic integration and risk transmission among major global financial markets around the Russia-Ukraine conflict by implementing the TVP-VAR frequency model for both a high and a low-frequency band. We also employ wavelet coherence to supplement our analysis. Results show that (i) the global financial system is highly connected during the entire period, and the dynamic spillovers reach unprecedented heights on the day of the Russia-Ukraine conflict; (ii) Russia comes out as a spillover leader, whereas the geopolitical risk index, Dow Jones Commodity, and Bitcoin are the major targets of spillovers; and (iii) for the entire sample period, short-term connectedness gains much prominence. This study uncovers the real landscape of financial spillover effects of the Russia-Ukraine conflict, which can help investors and policymakers manage the risk exposure and avoid unexpected losses.
AB - We investigate dynamic integration and risk transmission among major global financial markets around the Russia-Ukraine conflict by implementing the TVP-VAR frequency model for both a high and a low-frequency band. We also employ wavelet coherence to supplement our analysis. Results show that (i) the global financial system is highly connected during the entire period, and the dynamic spillovers reach unprecedented heights on the day of the Russia-Ukraine conflict; (ii) Russia comes out as a spillover leader, whereas the geopolitical risk index, Dow Jones Commodity, and Bitcoin are the major targets of spillovers; and (iii) for the entire sample period, short-term connectedness gains much prominence. This study uncovers the real landscape of financial spillover effects of the Russia-Ukraine conflict, which can help investors and policymakers manage the risk exposure and avoid unexpected losses.
KW - Frequency connectedness
KW - Risk spillover network
KW - Russia-Ukraine conflict
KW - TVP-VAR
UR - http://www.scopus.com/inward/record.url?scp=85162179418&partnerID=8YFLogxK
U2 - 10.1016/j.ribaf.2023.102006
DO - 10.1016/j.ribaf.2023.102006
M3 - 文章
AN - SCOPUS:85162179418
SN - 0275-5319
VL - 66
JO - Research in International Business and Finance
JF - Research in International Business and Finance
M1 - 102006
ER -