Dynamic interlinkages between geopolitical stress and agricultural commodity market: Novel findings in the wake of the Russian Ukrainian conflict

POLAT O., Doğan Başar B., TORUN E., Ekşi İ. H.

Borsa Istanbul Review, cilt.23, 2023 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 23
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1016/j.bir.2023.05.007
  • Dergi Adı: Borsa Istanbul Review
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
  • Anahtar Kelimeler: Agricultural commodities, Frequency-based connectedness network, Geopolitical risk index, International grains council grains and oilseeds index, TVP-VAR
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

This study examines time-varying connectedness between agricultural commodities and geopolitical risk in terms of volatility. In this context, we employ the time- and frequency-based network connectedness approaches based on a time-varying parameter vector autoregression (TVP-VAR) model and use data from January 1, 2020, to January 4, 2023. Our findings indicate that (1) overall time-varying connectedness indexes are sharply amplified around geopolitical stress episodes; (2) wheat and the daily geopolitical risk index (GPRD) transmit notable volatility shocks starting in March 2022 because of the Russian invasion of Ukraine (RIU) on February 24, 2022; (3) persistent connectedness is sharply amplified around the RIU; and (4) temporary linkages dominate most of the period studied. Our findings have implications for investors, stakeholders, and policymakers in terms of their investment strategies and risk monitoring.