Currency and Commodity Return Relationship Under Extreme Geopolitical Risks: Evidence From the Invasion of Ukraine
Date
Authors
Dodd, Olga
Fernández-Pérez, Adrian
Sosvilla-Rivero, Simon
Supervisor
Item type
Journal Article
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor & Francis
Abstract
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.Description
Keywords
38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services, 1117 Public Health and Health Services, 1402 Applied Economics, 1502 Banking, Finance and Investment, Economics, Finance, 3502 Banking, finance and investment, 3801 Applied economics, 3899 Other economics, Foreign exchange rates, currency return, commodity returns, Ukraine–Russia war, geographic distance
Source
Applied Economics Letters, ISSN: 1350-4851 (Print); 1466-4291 (Online), Taylor & Francis, 31(1), 46-55. doi: 10.1080/13504851.2022.2123101
Publisher's version
Rights statement
This is a preliminary Working Paper version of an article published in Applied Economics Letters by Taylor & Francis. The Version of Record can be found at DOI: 10.1080/13504851.2022.2123101