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A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy

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  • Zhang, Yulian
  • Hamori, Shigeyuki

Abstract

Based on the TVP-VAR (time-varying parameter vector autoregressive) based extended joint connectedness methodology, this study analyzes the joint connectedness among BRICS’s (Brazil, Russia, India, China, and South Africa) geopolitical risks and the US macro economy (interest rates, consumer price index, crude oil prices, stock prices, and gross domestic production) for return and volatility. Evidence suggests that shocks from geopolitical risks have a considerable impact on emerging economies. Emerging economies are closely linked to developed economies in today’s globalized world. Hence, the geopolitical risk of BRICS countries may further impact developed economies. In this study, we performed a cross-sectional analysis of the relationships between geopolitical risks in BRICS nations and a developed economy (e.g., US macroeconomic indicators). Our results were significant in at least two ways. First, geopolitical risks in China and Russia considerably impact the return and volatility system. In contrast, geopolitical risks in China have fewer impacts on the US macro economy than in Russia, Brazil, and India. Second, the value of total joint connectedness during the COVID-19 period was greater than during the 2007–2008 global financial crisis. Third, the consumer price index, crude oil prices, and stock prices receive greater connectedness from the others. The results suggest that policymakers and investors should not pay excessive attention to geopolitical risk in China. Moreover, because the oil and stock markets are highly interdependent, risk spikes for investors who hold both oil and stock when facing high geopolitical risk. We recommend that investors reduce their simultaneous holdings of both assets in times of high geopolitical risk and consider alternative safe haven assets.

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  • Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    • Handle: RePEc:eee:ecanpo:v:76:y:2022:i:c:p:182-203
    DOI: 10.1016/j.eap.2022.08.004
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    More about this item

    Keywords

    Joint connectedness; Geopolitical risk; COVID-19; TVP-VAR; Crisis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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