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The geopolitical risk spillovers across BRICS countries: A quantile frequency connectedness approach

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  • Duc Hong Vo
  • Tam Hoang‐Nhat Dang

Abstract

This paper investigates the geopolitical risk spillovers among BRICS countries during the 1985–2022 period. We adopt the novel quantile frequency connectedness approach, which allows us to examine the risk transmission by frequency and quantile. The geopolitical risks spread more intensely among BRICS countries during extreme circumstances. The long‐term geopolitical risk spillovers are the main contributors to the overall spillovers. Additionally, we note that significant increases in spillovers are associated with remarkable political events. Russia is the most dominant country and the largest short‐term and long‐term geopolitical risk transmitter to other BRICS members during the research period.

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  • Duc Hong Vo & Tam Hoang‐Nhat Dang, 2024. "The geopolitical risk spillovers across BRICS countries: A quantile frequency connectedness approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 71(1), pages 132-143, February.
    • Handle: RePEc:bla:scotjp:v:71:y:2024:i:1:p:132-143
    DOI: 10.1111/sjpe.12355
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