Geopolitical risk and extreme spillovers among oil-based energy commodities

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Geopolitical risk and extreme spillovers among oil-based energy commodities

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Geopolitical risk and extreme spillovers among oil-based energy commodities

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA25-18457S" target="_blank" >GA25-18457S: Dynamika vlastnických struktur nadnárodních bank</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

1873-6181

Svazek periodika

152

Číslo periodika v rámci svazku

December

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

20

Strana od-do

108977

Kód UT WoS článku

001607642400001

EID výsledku v databázi Scopus

2-s2.0-105019963236