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"Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine"

Author

Listed:
  • Olga Dodd

    (Finance Department, Faculty of Business Economics and Law, Auckland University of Technology, New Zealand.)

  • Adrian Fernandez-Perez

    (Finance Department, Faculty of Business Economics and Law, Auckland University of Technology, New Zealand.)

  • Simon Sosvilla-Rivero

    (Complutense Institute for International Studies, Universidad Complutense de Madrid. 28223 Madrid, Spain.)

Abstract

We examine the relationship between currency and commodity returns around the invasion of Ukraine in February 2022. We find that the expected positive contemporaneous relationship between currency and commodity returns reverses and becomes negative during this period of extreme geopolitical risks. In addition to commodity returns, currency returns around the invasion of Ukraine are significantly affected by geopolitical factors, particularly geographic distance to the war. Our results indicate that a war between two major commodity-exporting countries significantly affects global currency pricing.

Suggested Citation

  • Olga Dodd & Adrian Fernandez-Perez & Simon Sosvilla-Rivero, 2022. ""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine"," IREA Working Papers 202204, University of Barcelona, Research Institute of Applied Economics, revised Apr 2022.
    • Handle: RePEc:ira:wpaper:202204
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    References listed on IDEAS

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    Cited by:

    1. S. A. Raza & K. Guesmi & R. Benkraiem & R. Anwar, 2024. "Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods," Post-Print hal-04720743, HAL.
    2. António Miguel Martins, 2024. "Short‐term market impact of Black Sea Grain Initiative on four grain markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 619-630, April.
    3. Florin Aliu & Jiří Kučera & Simona Hašková, 2023. "Agricultural Commodities in the Context of the Russia-Ukraine War: Evidence from Corn, Wheat, Barley, and Sunflower Oil," Forecasting, MDPI, vol. 5(1), pages 1-23, March.
    4. Martins, António Miguel & Correia, Pedro & Gouveia, Ricardo, 2023. "Russia-Ukraine conflict: The effect on European banks’ stock market returns," Journal of Multinational Financial Management, Elsevier, vol. 67(C).
    5. Raza, Syed Ali & Guesmi, Khaled & Benkraiem, Ramzi & Anwar, Rija, 2024. "Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods," Research in International Business and Finance, Elsevier, vol. 67(PA).

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