Macroeconomics

Financial system

Linguistics

Monetary policy

Philosophy

Volatility (finance)

Geopolitics

Vector autoregression

Economic system

Financial market

Economics

Business

Social connectedness

Ukrainian

Psychology

Politics

Political science

Monetary economics

Psychotherapist

Structural vector autoregression

Financial economics

Bond

Finance

Financial crisis

Finance research letters

We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short- and long-term frequencies, respectively.

The impact of the Russia-Ukraine conflict on the connectedness of financial markets