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...

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Detalhes bibliográficos
Autores: Dodd, Olga, Fernandez Perez, Adrian, Sosvilla Rivero, Simón Javier
Tipo de documento: artigo
Data de publicação:2022
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositório:Docta Complutense
Idioma:inglês
OAI Identifier:oai:docta.ucm.es:20.500.14352/71911
Acesso em linha:https://hdl.handle.net/20.500.14352/71911
Access Level:Acceso aberto
Palavra-chave: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
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oai_identifier_str oai:docta.ucm.es:20.500.14352/71911
network_acronym_str ES
network_name_str España
repository_id_str
spelling Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of UkraineRelación de rendimiento de divisas y productos básicos en condiciones de riesgo geopolítico extremo: Evidencia de la invasión de UcraniaDodd, OlgaFernandez Perez, AdrianSosvilla Rivero, Simón JavierF31F51G13G14Foreign exchange ratesCurrency returnCommodity returnRussian invasionUkraine warGeographic distance.Crisis económicasEconometría (Economía)Finanzas5307.06 Fluctuaciones Económicas5302 EconometríaWe 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.Taylor & FrancisUniversidad Complutense de Madrid20222022journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/71911reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/719112026-06-02T12:44:21Z
dc.title.none.fl_str_mv Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
Relación de rendimiento de divisas y productos básicos en condiciones de riesgo geopolítico extremo: Evidencia de la invasión de Ucrania
title Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
spellingShingle Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
Dodd, Olga
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
title_short Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
title_full Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
title_fullStr Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
title_full_unstemmed Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
title_sort Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
dc.creator.none.fl_str_mv Dodd, Olga
Fernandez Perez, Adrian
Sosvilla Rivero, Simón Javier
author Dodd, Olga
author_facet Dodd, Olga
Fernandez Perez, Adrian
Sosvilla Rivero, Simón Javier
author_role author
author2 Fernandez Perez, Adrian
Sosvilla Rivero, Simón Javier
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv 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
topic 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
description 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.
publishDate 2022
dc.date.none.fl_str_mv

2022
2022
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/71911
url https://hdl.handle.net/20.500.14352/71911
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869418292754513920
score 15,300719

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