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

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  • Muhammad Niaz, Khan

    (Institute of Management Sciences, University of Science & Technology Bannu, Pakistan)

Abstract

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.

Suggested Citation

  • Muhammad Niaz, Khan, 2025. "Assessing the Impact of Geopolitical Crises on Global Financial Markets: Insights from the Novel TVP-VAR Model," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 40(1), pages 29-52.
    • Handle: RePEc:ris:integr:0933
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    Keywords

    Geopolitical Crises; Global Financial Markets; TVP-VAR; Volatility Spillovers;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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