Quantifying the geopolitical risk resilience of commodity futures markets

被引：0
|
作者：
Yang, Jie [1 ]
Yang, Hao [2 ]
Feng, Yun [1 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China
[2] Nankai Univ, Business Sch, Tianjin 300071, Peoples R China
来源：
ECONOMICS LETTERS | 2025年 / 247卷
关键词：
Geopolitical risks; Commodity futures markets; Resilience;
D O I：
10.1016/j.econlet.2025.112172
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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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页数：6
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