Journal of Financial Economic Policy,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Sept. 23, 2024
Purpose
The
study
aims
to
investigate
the
risk
transmission
from
COVID-19
global
agriculture,
energy,
natural
resources/mining
and
environmentally/socially
responsible
investments.
Additionally,
it
explores
connectedness
of
energy
indices
with
develops
a
new
COVID-19-based
Global
Fear
Index
(GFI)
achieve
objectives,
thus
contributing
prevailing
literature.
Design/methodology/approach
data
are
selected
January
2020
December
2021.
uses
multivariate
BEKK-GARCH
TVP-VAR
models
explore
between
indices.
Findings
Significant
shock
volatility
transmissions
all
observed.
Results
show
that
resource/mining
markets
environmentally
socially
investments
safe
havens
during
COVID-19.
Furthermore,
these
investment
choices
barely
connected
Practical
implications
Portfolio
managers
investors
should
invest
in
gauge
risk-adjusted
return
pandemic
upcoming
health-related
risks.
Investors
sectors
advised
diversify
by
adding
safe-haven
assets
their
portfolios.
Social
findings
shed
light
on
importance
as
separate
asset
class
where
ecologically
friendly
sentimental
could
diversifying
Originality/value
paper
offers
valuable
insights
policymakers
regarding
pricing,
management
financial
market
stability
pandemic-type
emergencies.
The North American Journal of Economics and Finance,
Journal Year:
2023,
Volume and Issue:
69, P. 102030 - 102030
Published: Oct. 30, 2023
To
address
ESG
stock
susceptibility
to
episodic
shocks
in
financial
markets,
we
use
nonparametric
quantile-based
techniques
applied
the
2014-2022
period.
We
(i)
analyse
ability
of
traditional
assets
predict
stocks
returns,
(ii)
explore
whether
oil
or
gold
serves
as
a
safe
haven
for
stocks,
and
(iii)
ascertain
how
respond
market
sentiment,
crypto-based
uncertainty,
geopolitical
risk
(GPR).
find
that
gold,
oil,
sentiment
(tracked
by
VIX),
implied
volatility
crude
(OVX)
GPR
are
significant
predictors
returns.
None
both
acting
just
diversifiers.
In
their
turn,
could
hedge
against
from
cryptocurrency-triggered
uncertainties
bearish
states
market.
These
findings
important
asset
allocation
management,
assisting
investors
already
ongoing
switch
ordinary
sustainable
investments.
European Journal of Political Economy,
Journal Year:
2024,
Volume and Issue:
85, P. 102574 - 102574
Published: June 21, 2024
We
investigate
the
event-based
geopolitical
shocks
from
Russian
invasion
of
Ukraine
on
agricultural
and
energy
commodities
using
daily
structural
vector
autoregression
(SVAR).
find
that
shock
affects
markets
wheat
(2%),
corn
(1%),
European
natural
gas
(7.5%).
However,
substantial
heterogeneity
is
observed
among
markets.
Geopolitical
risk
stemming
Russia-Ukraine
conflict
market
more
strongly
than
US
Asian
The
regional
segment
could
explain
this.
Finally,
our
analysis
explores
how
news
dynamics
stock,
currency,
bond
Energy Economics,
Journal Year:
2024,
Volume and Issue:
131, P. 107382 - 107382
Published: Feb. 5, 2024
We
explore
the
influence
of
oil
price
and
geopolitical
risk
(GPR)
on
international
transmission
shocks
within
African
forex
markets.
To
gauge
dynamics
shock
we
employ
TVP-VAR
connectedness
model
using
daily
data
in
2000–2023.
show
that
between
oil-exporting
oil-importing
countries
heterogeneously
depends
GPR
innovations.
also
provide
empirical
evidence
return
volatility
oil,
rates
upon
economic
events
is
more
pronounced
during
financial
stresses,
which
can
alter
transmission-receiver
roles
system
variables.
In
pairs,
find
foreign
exchange
spillovers
across
exporters
importers
depend
shocks.
This
emphasizes
importance
utilizing
partial
to
assess
linkages
shared
by
markets
face
GPR.
Our
results
are
potentially
insightful
for
market
players
regulators.
Energy Economics,
Journal Year:
2024,
Volume and Issue:
133, P. 107521 - 107521
Published: April 4, 2024
This
study
finds
interesting
outcomes
regarding
the
interlinkage
between
food,
energy,
and
water
sectors.
The
UN's
Food
Agriculture
Organization
data
from
January
1961
till
2023
are
employed
for
six
variables,
namely
Total
Renewable
Water
resources
per
capita
(TRW),
Internal
(TIRW),
Withdrawal
(TWW),
Global
Consumption
(GFC),
Crop
Production
(GCP),
Electricity
(GEC).
Employing
Quantile
Vector
Auto-Regression
(QVAR)
methodology,
we
observe
asymmetry
in
connectedness
across
quantiles.
Positive
shocks
produce
stronger
impacts
variables
than
negative
ones.
production
mostly
acts
as
a
receiver
of
shocks.
is
consistent
net
emitter
all
circumstances,
while
withdrawal
crucial
during
regime
well
neutral
time.
Journal of Financial Economic Policy,
Journal Year:
2024,
Volume and Issue:
16(5), P. 580 - 600
Published: Aug. 21, 2024
Purpose
This
study
aims
to
explore
the
intricate
relationship
between
uncertainty
indicators
and
volatility
of
commodity
futures,
with
a
specific
focus
on
agriculture
energy
sectors.
Design/methodology/approach
The
authors
analyse
Indian
futures
using
GARCH-MIDAS
model,
taking
into
account
different
types
factors.
evaluation
out-sample
predictive
capability
involves
application
R
-squared
test
computation
various
loss
functions.
Findings
research
outcomes
underscore
significant
impact
diverse
factors
such
as
domestic
economic
policy
(EPU),
global
EPU
(GEPU),
US
geopolitical
risk
(GPR)
long-run
(agri)
futures.
Additionally,
demonstrates
that
GPR
exhibits
superior
for
crude
oil
volatility,
while
stands
out
an
effective
predictor
agri
particularly
castor
seed
guar
gum.
Practical
implications
offers
practical
market
participants
policymakers
adopt
comprehensive
perspective,
incorporating
factors,
informed
decision-making
management
in
markets.
Originality/value
makes
inaugural
attempt
examine
modelling
predicting
distinctive
feature
considering
emerging
also
adds
novel
dimension
landscape.
