Geopolitical risk and extreme spillovers among oil-based energy commodities

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F25%3A43927566" target="_blank" >RIV/62156489:43110/25:43927566 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.eneco.2025.108977" target="_blank" >https://doi.org/10.1016/j.eneco.2025.108977</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2025.108977" target="_blank" >10.1016/j.eneco.2025.108977</a>

Result language
angličtina
Original language name
Geopolitical risk and extreme spillovers among oil-based energy commodities
Original language description
We investigate the impact and propagation of geopolitical risk among oil-based energy commodities. First, we endogenously identify key geopolitical events affecting the connectedness among the oil-based commodities and then evaluate their transitory and persistent impacts. We identify four major shocks that resulted in persistent shifts in connectedness: the 9/11 attacks, the Crimea crisis, the political shift in Nigeria, and the Russian invasion of Ukraine. Using a quantile-based framework, we demonstrate that volatility transmissions due to geopolitical risk are not uniform but significantly depend on market conditions. Notably, heating oil and crude oil are identified as primary transmitters of risk, especially during economic turmoil. We quantify the negative economic and financial impacts of geopolitical risks through a multivariate dynamic portfolio analysis and through an impact on the profitability of ten global banks with high exposure to oil commodities. Our findings enhance the understanding of how geopolitical shocks influence connectedness and informed portfolio decisions, highlighting the need for adaptive strategies in finance.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics

Project
<a href="/en/project/GA25-18457S" target="_blank" >GA25-18457S: Dynamics in ownership patterns of multinational banks</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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