Risk spillover effects of the Israel–Hamas War on global financial and commodity markets: A time–frequency and network analysis

Abstract

This paper uses TVP-VAR dynamic spillover method and spectral clustering algorithms to explore the impact of the Israel–Hamas war on the risk contagion in global financial and commodity markets. The war markedly intensified the overall risk spillover, with short-term impacts surpassing long-term effects. The static risk spillover and dynamic spillovers characteristics exhibited marked changes, but the directional risk spillovers in the time domain and the net risk level for each asset reacted differently. There was a significant shift in the global market’s community divisions and net spillover patterns networks, which changed the way risk spreads between the global financial market.