Abstract
This study examines time-varying connectedness between agricultural commodities and geopolitical risk in terms of volatility. In this context, we employ the time- and frequency-based network connectedness approaches based on a time-varying parameter vector autoregression (TVP-VAR) model and use data from January 1, 2020, to January 4, 2023. Our findings indicate that (1) overall time-varying connectedness indexes are sharply amplified around geopolitical stress episodes; (2) wheat and the daily geopolitical risk index (GPRD) transmit notable volatility shocks starting in March 2022 because of the Russian invasion of Ukraine (RIU) on February 24, 2022; (3) persistent connectedness is sharply amplified around the RIU; and (4) temporary linkages dominate most of the period studied. Our findings have implications for investors, stakeholders, and policymakers in terms of their investment strategies and risk monitoring.
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