Quantifying the geopolitical risk resilience of commodity futures markets

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-02-01 DOI:10.1016/j.econlet.2025.112172

Jie Yang , Hao Yang , Yun Feng

引用次数: 0

Abstract

This paper focuses on the resilience of commodity futures markets specific to shocks of geopolitical risks. Our time-varying resilience measurement stems from the TVP-VAR model. The results show that not all precious metals are resilient to geopolitical disturbances, and only gold does. Nature gas appears to have the worst resilience, and WTI's resilience is enormously unstable. Utilizing the measured resilience to evaluate the security level of commodity markets is beneficial and promising to regulators.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.