Assessing the Impact of Geopolitical Crises on Global Financial Markets: Insights from the Novel TVP-VAR Model

• 발행기관: 세종대학교 경제통합연구소
• 저자명: Muhammad Niaz Khan
• 간행물 정보: 『Journal of Economic Integration』제40권 제1호, 29~52쪽, 전체 24쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2025.03.01

국문 초록

The aim of this study is to examine the impact of the recent geopolitical crisis on global equity, commodity, and cryptocurrency markets over the period from January, 2021 to December 2023. Based on the TVP-VAR, this study examines the dynamic connectedness among the variables of interest. The results revealed an increase in volatility connectedness among the markets during the crisis periods compared to the period before crisis. The equity market indices served as the main transmitters of volatility, while the commodity markets were the net receivers. In addition, bitcoins served as risk transmitters throughout the entire period and in the two sub-periods. Chinese market exhibited as the most resilient market during the geopolitical crisis. Furthermore, the commodities market (oil and gold) exhibited characteristics of safe-haven assets and hedging abilities during the crisis. The study revealed no indication of bitcoin serving as a safe-haven asset within the cryptocurrency market. These results carry substantial implications for investors, fund managers, and policymakers, highlighting the importance of crafting strategies and policies informed by the study's findings to effectively navigate future crisis episodes.

목차

I. Introduction

II. Literature Review

III. Data and Methodology

IV. Results and Discussions

V. Conclusion

References

키워드

Geopolitical Crises Global Financial Markets TVP-VAR Volatility Spillovers