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IR22_004_Dodd+Fdez+Sosvilla.pdf (1.06 MB)

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Working paper

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2022

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cc-by-nc-nd, (c) Dodd et al., 2022
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/187101

Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine

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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.

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Canvi exterior, Mercat financer, Valor (Economia), Moneda, Ucraïna

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Foreign exchange, Financial market, Value (Economics), Money, Ukraine

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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DODD, Olga, FERNÁNDEZ-PÉREZ, Adrián and SOSVILLA RIVERO, Simón. Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine. IREA – Working Papers. 2022. Vol.  IR22/04. [consulted: 16 of June of 2026]. Available at: https://hdl.handle.net/2445/187101

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