Please use this identifier to cite or link to this item:
https://hdl.handle.net/2445/187101
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) Moneda Ucraïna Foreign exchange Financial market Value (Economics) Money Ukraine |
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: http://www.ub.edu/irea/working_papers/2022/202204.pdf |
It is part of: | IREA – Working Papers, 2022, IR22/04 |
URI: | https://hdl.handle.net/2445/187101 |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
IR22_004_Dodd+Fdez+Sosvilla.pdf | 1.08 MB | Adobe PDF | View/Open |
This item is licensed under a
Creative Commons License