Abstract
The study investigates the impact of the ongoing Russia-Ukraine war on the transmission of returns spillovers between energy, metal and agricultural markets in China. We use the Diebold Yilmaz (2012) method, the Baruník and Krehlík (2018) method and a novel quantile connectedness method to examine the dynamic and directional risk connectedness under different time frequencies and market conditions. We find that after the war, total mean-based connectedness rises significantly from 23.50% to 41.81%. And notably, the war not only increases the connectedness in both tails but also middle quantile connectedness in the short term. Energy commodity is still the largest spillover transmitter and receiver except for under several extreme market conditions. In addition, the war has witnessed the increasing importance of the oil seed crops & seed oils commodity, especially in the long term. The spillover effect of the agricultural products market increases the most, but it is still vulnerable to other markets.
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