Spillovers From the Russia-Ukraine Conflict

We investigate dynamic integration and risk transmission among major global financial markets around the conflict in Russia-Ukraine by implementing the TVP-VAR frequency model. We measure connectedness for both a high and a low-frequency band. Results show that (i) the global financial system is highly connected during the entire period, and the dynamic spillovers reach unprecedented heights on the day of the Russia-Ukraine conflict; (ii) Russia comes out as a spillover leader, whereas the geopolitical risk index, Dow Jones Commodity, and Bitcoin are the major targets of spillovers; and (iii) for the entire sample period, short-term connectedness gains much prominence. This study uncovers the real landscape of financial spillover effects of the Russia-Ukraine conflict, which can help investors and policymakers manage the risk exposure and avoid unexpected losses