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Energy, metals, cereals and G7 indices: Russia–Ukraine conflict and risk spillovers

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  • Leone, Maria
  • Manelli, Alberto
  • Pace, Roberta

Abstract

The economies of each State are increasingly interconnected and depend on international trade. The intricate set of connections and transactions was put to the test during the Russia–Ukraine conflict. The TVP-VAR model is used to investigate the connectedness among G7 stock indices and commodity markets. Results show that spillovers are dynamic and crisis sensitive and the response at the war has been instantaneous and in counter trend. Therefore, the war significantly affected most of the G7 stock prices through commodity prices. This dependence on raw materials makes the G7 countries closely tied to the belligerents more sensitive than others to international crises and conflicts.

Suggested Citation

  • Leone, Maria & Manelli, Alberto & Pace, Roberta, 2025. "Energy, metals, cereals and G7 indices: Russia–Ukraine conflict and risk spillovers," Finance Research Letters, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325008165
    DOI: 10.1016/j.frl.2025.107557
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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • 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

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