Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
We examine the relationship between currency and commodity returns around the invasion of Ukraine in February 2022. We find that the expected positive contemporaneous relationship between currency and commodity returns reverses and becomes negative during this period of extreme geopolitical risks. I...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/71911 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/71911 |
| Access Level: | acceso abierto |
| Palabra clave: | F31 F51 G13 G14 Foreign exchange rates Currency return Commodity return Russian invasion Ukraine war Geographic distance. Crisis económicas Econometría (Economía) Finanzas 5307.06 Fluctuaciones Económicas 5302 Econometría |
| Sumario: | We examine the relationship between currency and commodity returns around the invasion of Ukraine in February 2022. We find that the expected positive contemporaneous relationship between currency and commodity returns reverses and becomes negative during this period of extreme geopolitical risks. In addition to commodity returns, currency returns around the invasion of Ukraine are significantly affected by geopolitical factors, particularly geographic distance to the war. Our results indicate that a war between two major commodity-exporting countries significantly affects global currency pricing. |
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