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Can geopolitical risks excite Germany economic policy uncertainty: Rethinking in the context of the Russia-Ukraine conflict

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  • Shen, Lihua
  • Hong, Yanran

Abstract

The escalating conflict between Russia and Ukraine has increased geopolitical risks and global economic policy uncertainty, leading to an increasingly tense international situation. This paper takes Germany as an example to investigate whether the time-varying risks can transmit from geopolitical risks to economic policy uncertainty. By employing the time-varying Granger-causality tests, we find that (i) the risk transmitting from geopolitical risks and economic policy uncertainty can be affected by the occurrence of the Russia-Ukraine conflict; and (ii) this unidirectional relation owns an asymmetric characteristic, showing that increased geopolitical risks may excite Germany's economic policy uncertainty.

Suggested Citation

  • Shen, Lihua & Hong, Yanran, 2023. "Can geopolitical risks excite Germany economic policy uncertainty: Rethinking in the context of the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005979
    DOI: 10.1016/j.frl.2022.103420
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    Cited by:

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    2. Lado-Sestayo, Rubén & De Llano-Paz, Fernando & Vivel-Búa, Milagros & Martínez-Salgueiro, Andrea, 2023. "Commodity exposure in the eurozone: How EU energy security is conditioned by the Euro," Energy, Elsevier, vol. 277(C).
    3. Wang, Shanyong & Wang, Jing & Wang, Wenfu, 2023. "Do geopolitical risks facilitate the global energy transition? Evidence from 39 countries in the world," Resources Policy, Elsevier, vol. 85(PB).
    4. Xin, Baogui & Zhang, Mengwei, 2023. "Evolutionary game on international energy trade under the Russia-Ukraine conflict," Energy Economics, Elsevier, vol. 125(C).
    5. Wei Hu & Yue Shan & Yun Deng & Ningning Fu & Jian Duan & Haining Jiang & Jianzhen Zhang, 2023. "Geopolitical Risk Evolution and Obstacle Factors of Countries along the Belt and Road and Its Types Classification," IJERPH, MDPI, vol. 20(2), pages 1-24, January.
    6. Chishti, Muhammad Zubair & Khalid, Ali Awais & Sana, Moniba, 2023. "Conflict vs sustainability of global energy, agricultural and metal markets: A lesson from Ukraine-Russia war," Resources Policy, Elsevier, vol. 84(C).
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    8. Alam, Ahmed W. & Houston, Reza & Farjana, Ashupta, 2023. "Geopolitical risk and corporate investment: How do politically connected firms respond?," Finance Research Letters, Elsevier, vol. 53(C).
    9. Niu, Zibo & Wang, Chenlu & Zhang, Hongwei, 2023. "Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models," International Review of Financial Analysis, Elsevier, vol. 89(C).
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    More about this item

    Keywords

    Geopolitical risks; Germany economic policy uncertainty; Time-varying Granger causality; Russia-Ukraine conflict;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • 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
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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