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

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  • Banerjee, Ameet Kumar

Abstract

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.

Suggested Citation

  • Banerjee, Ameet Kumar, 2024. "Second-order moment risk connectedness across climate and geopolitical risk and global commodity markets," Economics Letters, Elsevier, vol. 235(C).
    • Handle: RePEc:eee:ecolet:v:235:y:2024:i:c:s0165176524000351
    DOI: 10.1016/j.econlet.2024.111551
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    Citations

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    Cited by:

    1. Han, SeungOh, 2024. "Hedging strategies for U.S. factor and sector exchange-traded funds during geopolitical events," Finance Research Letters, Elsevier, vol. 65(C).
    2. Banerjee, Ameet Kumar & Dionisio, Andreia & Sensoy, Ahmet & Goodell, John W., 2024. "Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments," Energy Economics, Elsevier, vol. 136(C).
    3. Banerjee, Ameet Kumar & Sensoy, Ahmet & Rahman, Molla Ramizur & Palma, Alessia, 2024. "Commonality in volatility among green, brown, and sustainable energy indices," Finance Research Letters, Elsevier, vol. 64(C).
    4. Lin, Zi-Luo & Ouyang, Wen-Pei & Yu, Qing-Rui, 2024. "Risk spillover effects of the Israel–Hamas War on global financial and commodity markets: A time–frequency and network analysis," Finance Research Letters, Elsevier, vol. 66(C).
    5. Lee, Geesun, 2024. "The impact of North Korean nuclear threat on stock market linkages in Northeast Asia: The case of South Korea, China, and Japan," Finance Research Letters, Elsevier, vol. 66(C).
    6. Banerjee, Ameet Kumar, 2024. "Environmental sustainability and the time-varying changing dynamics of green and brown energy ETFs," Finance Research Letters, Elsevier, vol. 62(PB).
    7. Banerjee, Ameet Kumar & Özer, Zeynep Sueda & Rahman, Molla Ramizur & Sensoy, Ahmet, 2024. "How does the time-varying dynamics of spillover between clean and brown energy ETFs change with the intervention of climate risk and climate policy uncertainty?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 442-468.
    8. Khan, Nasir & Mejri, Sami & Hammoudeh, Shawkat, 2024. "How do global commodities react to increasing geopolitical risks? New insights into the Russia-Ukraine and Palestine-Israel conflicts," Energy Economics, Elsevier, vol. 138(C).

    More about this item

    Keywords

    Climate risk; Geopolitical risk; Commodity markets; Risk spillovers;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

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