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Quantifying the geopolitical risk resilience of commodity futures markets

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  • Yang, Jie
  • Yang, Hao
  • Feng, Yun

Abstract

This paper focuses on the resilience of commodity futures markets specific to shocks of geopolitical risks. Our time-varying resilience measurement stems from the TVP-VAR model. The results show that not all precious metals are resilient to geopolitical disturbances, and only gold does. Nature gas appears to have the worst resilience, and WTI's resilience is enormously unstable. Utilizing the measured resilience to evaluate the security level of commodity markets is beneficial and promising to regulators.

Suggested Citation

  • Yang, Jie & Yang, Hao & Feng, Yun, 2025. "Quantifying the geopolitical risk resilience of commodity futures markets," Economics Letters, Elsevier, vol. 247(C).
    • Handle: RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000096
    DOI: 10.1016/j.econlet.2025.112172
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    References listed on IDEAS

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    1. Dario Caldara & Matteo Iacoviello, 2022. "Measuring Geopolitical Risk," American Economic Review, American Economic Association, vol. 112(4), pages 1194-1225, April.
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    Cited by:

    1. Cao, Jie & Zhu, Yingxin & Yin, Zhujia & Li, Jing & Chang, Chun-Ping, 2025. "Resilience of energy market under geopolitical risks: What’s the policy implications?," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 1706-1724.
    2. Kang Meng & Ying Wang, 2026. "Data-Driven Green Technology Integration and Geopolitical Risks in East Asian Economic Development: A Predictive Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 67(1), pages 451-484, January.
    3. Yang, Hao & Yang, Jie & Feng, Yun, 2026. "Climate physical risks and the vulnerability of global agricultural commodities," Economics Letters, Elsevier, vol. 258(C).

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    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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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