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Currency and Commodity Return Relationship Under Extreme Geopolitical Risks: Evidence From the Invasion of Ukraine

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aut.relation.endpage55
aut.relation.issue1
aut.relation.journalApplied Economics Letters
aut.relation.startpage46
aut.relation.volume31
dc.contributor.authorDodd, Olga
dc.contributor.authorFernández-Pérez, Adrian
dc.contributor.authorSosvilla-Rivero, Simon
dc.date.accessioned2026-03-01T21:58:57Z
dc.date.available2026-03-01T21:58:57Z
dc.date.issued2022-09-14
dc.description.abstractWe 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.
dc.identifier.citationApplied Economics Letters, ISSN: 1350-4851 (Print); 1466-4291 (Online), Taylor & Francis, 31(1), 46-55. doi: 10.1080/13504851.2022.2123101
dc.identifier.doi10.1080/13504851.2022.2123101
dc.identifier.issn1350-4851
dc.identifier.issn1466-4291
dc.identifier.urihttp://hdl.handle.net/10292/20696
dc.languageen
dc.publisherTaylor & Francis
dc.relation.urihttps://www.tandfonline.com/doi/full/10.1080/13504851.2022.2123101
dc.rightsThis 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
dc.rights.accessrightsOpenAccess
dc.subject38 Economics
dc.subject3502 Banking, Finance and Investment
dc.subject3801 Applied Economics
dc.subject35 Commerce, Management, Tourism and Services
dc.subject1117 Public Health and Health Services
dc.subject1402 Applied Economics
dc.subject1502 Banking, Finance and Investment
dc.subjectEconomics
dc.subjectFinance
dc.subject3502 Banking, finance and investment
dc.subject3801 Applied economics
dc.subject3899 Other economics
dc.subjectForeign exchange rates
dc.subjectcurrency return
dc.subjectcommodity returns
dc.subjectUkraine–Russia war
dc.subjectgeographic distance
dc.titleCurrency and Commodity Return Relationship Under Extreme Geopolitical Risks: Evidence From the Invasion of Ukraine
dc.typeJournal Article
pubs.elements-id478021

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