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Title: Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine
Author: Dodd, Olga
Fernández-Pérez, Adrián
Sosvilla Rivero, Simón
Keywords: Canvi exterior
Mercat financer
Valor (Economia)
Foreign exchange
Financial market
Value (Economics)
Issue Date: 2022
Publisher: Universitat de Barcelona. Facultat d'Economia i Empresa
Series/Report no: [WP E-IR22/04]
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.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2022, IR22/04
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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