How major geopolitical events affect tail risk contagion in global crude oil markets —evidence from the Russia-Ukraine conflict

Under current geopolitical tensions, the international community is now placing a strong emphasis on risk management in global crude oil markets. This study uses the Russia-Ukraine conflict as an example to deeply investigate how major geopolitical events affect tail risk contagion in global crude oil markets. Firstly, the analysis of risk linkages between geopolitics and global crude oil markets is conducted using the wavelet coherence method across various time and frequency domains. Subsequently, the quantile time-frequency spillover model is applied to assess fluctuations in tail risk spillover indexes in global crude oil markets. Furthermore, utilizing the complex network perspective, the short-term and long-term cross-contagion features of tail risks under different market conditions pre and post the Russia-Ukraine conflict are analyzed. The findings show notable risk linkage effects in the short and long term between the geopolitics and crude oil markets of the United States, Russia and Saudi Arabia during the onset of this conflict. Additionally, this conflict has enhanced the short-term risk resilience of global crude oil markets, and the total spillover effect of tail risk has increased observably in the long term. The directional tail risk spillover results further indicate that the risk spillover relationship between crude oil markets in different countries varies with changes in market status and frequency domains, and risk contagion channels are complex. This conflict has obviously altered the risk contagion pattern in the market, leading to a significant rise in the net risk spillover effect in Russia's crude oil market under normal and extreme market conditions. The research conclusions provide new ideas for various countries to stem cross-contagion of risks in crude oil markets.