Aizenman, Joshua
[Author];
Lindahl, Robert
[Author];
Stenvall, David
[Author];
Uddin, Mohammed Gazi Salah
[Author]
;
National Bureau of Economic Research
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Description:
We investigate the event-based geopolitical shocks from the Russian invasion of Ukraine on selected agricultural and energy commodities using daily event-based structural vector autoregression (SVAR). We find that the geopolitical shock affects the markets of wheat (3%) and European natural gas (12%). However, substantial heterogeneity is observed among the food and energy markets. Geopolitical risk 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, the dynamics of the impacts of geopolitical news are analyzed in the stock, currency, and bond markets