Second-order moment risk connectedness across climate and geopolitical risk and global commodity markets

被引：23

作者：

Banerjee, Ameet Kumar ^{[1
]}

机构：

[1] XLRI Xavier Sch Management, Jamshedpur 861001, Jharkhand, India

来源：

ECONOMICS LETTERS | 2024年 / 235卷

关键词：

Climate risk; Geopolitical risk; Commodity markets; Risk spillovers;

D O I：

10.1016/j.econlet.2024.111551

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Extant literature has visited the impact of climate and geopolitical risk (GPR) on cross-market linkages. However, it falls short in examining the risk of spillover in the commodity market during wartime and natural disasters. Using the second moment, we look into the risk spillover and connectedness between climate and geopolitical risk and commodity market and highlight that climate and geopolitical risk are net transmitters of shocks in the network. The results also show the loss of hedging abilities of precious metals against GPR. These findings are significant for policy and for the investors.

引用

页数：4

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