地缘政治冲击与商品市场动态：俄罗斯-乌克兰冲突的新证据

IF 2.3 3区经济学 Q2 ECONOMICS

European Journal of Political Economy Pub Date : 2024-06-21 DOI:10.1016/j.ejpoleco.2024.102574

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

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引用次数: 0

摘要

我们利用基于每日事件的结构向量自回归（SVAR）研究了俄罗斯入侵乌克兰对农产品和能源商品造成的基于事件的地缘政治冲击。我们发现，地缘政治冲击影响了小麦（2%）、玉米（1%）和欧洲天然气（7.5%）市场。然而，在农产品和能源市场之间观察到了巨大的异质性。俄乌冲突引发的地缘政治风险对欧洲天然气市场的影响比对美国和亚洲市场的影响更大。天然气市场的区域性可以解释这一点。最后，我们的分析探讨了地缘政治新闻如何影响股票、货币和债券市场的动态。

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

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.

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来源期刊

European Journal of Political Economy Multiple-

CiteScore

3.40

自引率

10.00%

发文量

106

期刊介绍： The aim of the European Journal of Political Economy is to disseminate original theoretical and empirical research on economic phenomena within a scope that encompasses collective decision making, political behavior, and the role of institutions. Contributions are invited from the international community of researchers. Manuscripts must be published in English. Starting 2008, the European Journal of Political Economy is indexed in the Social Sciences Citation Index published by Thomson Scientific (formerly ISI).