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Second-order moment risk connectedness across climate and geopolitical risk and global commodity markets

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  • Banerjee, Ameet Kumar

Abstract

Extant literature has visited the impact of climate and geopolitical risk (GPR) on cross-market linkages. However, it falls short in examining the risk of spillover in the commodity market during wartime and natural disasters. Using the second moment, we look into the risk spillover and connectedness between climate and geopolitical risk and commodity market and highlight that climate and geopolitical risk are net transmitters of shocks in the network. The results also show the loss of hedging abilities of precious metals against GPR. These findings are significant for policy and for the investors.

Suggested Citation

  • Banerjee, Ameet Kumar, 2024. "Second-order moment risk connectedness across climate and geopolitical risk and global commodity markets," Economics Letters, Elsevier, vol. 235(C).
    • Handle: RePEc:eee:ecolet:v:235:y:2024:i:c:s0165176524000351
    DOI: 10.1016/j.econlet.2024.111551
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    More about this item

    Keywords

    Climate risk; Geopolitical risk; Commodity markets; Risk spillovers;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

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