Caught in the middle: the effect of economic sanctions on Russia's decoupling from global market
The current study explores the impact of the Russian-Ukraine conflict on various
asset classes, including gold, silver, platinum, palladium, oil, natural gas, gas oil,
heating oil, equity, bond, Bitcoin, and USD, during the post-Covid era from
September 2, 2021, through March 25, 2022. The study utilizes a time-varying
parameter vector autoregression (TVP-VAR) model to estimate the long-term,
short-term, and medium-term connectedness between the various assets in the
system. The study defines an event window of 27 days to examine the impact of
the conflict and an estimation window of 120 days to assess the pre-event period.
The results suggest that gold, silver, platinum, palladium, and USD are the most
significant generators of shocks to the system's connectedness, while heating oil is
the least connected asset. Moreover, gold, silver, platinum, palladium, and equity
are the most significant receivers of connectedness from the system, while heating
oil is the least connected asset to receive connectedness. Additionally, gold, silver,
and platinum are identified as the net transmitters of connectedness to the system,
while Bitcoin, gas oil, and natural gas are the net receivers of connectedness from
the system. The findings of the study have important implications for investors and
policymakers, as they provide insights into the interconnectedness of various asset
classes during times of geopolitical tension.
Keywords: Connectedness, TVP-VAR, Network Graphs, Static Connectedness, Directional Connectedness
Tools: R-Language, TVP-VAR
Department: Department of Business Studies
Project Team Members
| Name |
Email |
|
Muhammad Shahzad Khan
|
Shahzadk2019@namal.edu.pk |
Project Poster
