The Impact of the Russian-Ukrainian War on Global Financial Markets
30 Pages Posted: 16 Jun 2022
Date Written: June 10, 2022
On February 24, 2022, Russia invaded Ukraine. In this paper, we analyze the response of European and worldwide stock markets and a representative sample of commodities to this event and compare it against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. We employ a Markov-switching HAR model on volatility proxies and estimate synchronization, duration and intensity measures for each event. We find stock markets and commodities respond earlier to the invasion event compared to either the Covid-19 or the GFC. By contrast, crisis duration following the invasion is lesser than either of the other two events. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.
Keywords: Ukraine War, financial markets, HAR, Markov switching, commodities
JEL Classification: G15, C24
Suggested Citation: Suggested Citation