The impact of commodity prices on developed and emerging financial markets during COVID-19 pandemic and Russia–Ukraine war: evidence from the Dynamic ARDL approach

This study aims to analyze the impacts of energy, metal and agricultural commodity prices on developed and emerging financial markets in the long and the short run, as well as the impact of the COVID-19 pandemic and the Russia–Ukraine war, using the Dynamic Autoregressive distributed lag (DARDL) model. Moreover, Toda and Yamamoto tests was used to study the causal relations between the aforementioned variables. Results reveal that both crises negatively affected financial markets, but the war’s prolonged supply shocks disproportionately harmed developed markets through energy inflation and corporate profit erosion, while emerging markets faced acute short-term capital flight and currency stress. Energy commodities exhibited asymmetric effects: coal prices depressed markets universally, oil boosted equities but sank bonds, and natural gas initially lifted then hindered developed markets. Metals showed dual roles, gold stabilized short-term markets, while iron/copper disrupted production costs. Agricultural commodities (wheat, soybeans) caused short-run inflation but long-run gains for exporters. Causality tests confirmed interconnectedness, with developed markets often leading spillovers. Policy implications stress building EM forex reserves, diversifying energy strategies, and coordinating crisis responses. The findings underscore the need for adaptive policies to navigate commodity-driven volatility in an era of compounding geopolitical and health crises.