Abstract
This paper uses the TVP-VAR frequency connectedness approach to compare the volatility connectedness induced by the COVID-19 pandemic and the Russia-Ukraine conflict. Both shocks induce increased connectedness, but the pandemic shock is stronger. High-frequency and medium-frequency connectedness dominate during the early stage of the pandemic, while low-frequency connectedness dominates during the conflict. Moreover, fossil energy is the risk transmitter in the early phase of the pandemic, while agricultural commodities become the transmitter during the conflict. We should take precautions against risks contagion from fossil energy and agricultural commodities to the post-conflict economy, and prevent inflation and economic slowdown.
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