Energy, metals, cereals and G7 indices: Russia–Ukraine conflict and risk spillovers

The economies of each State are increasingly interconnected and depend on international trade. The intricate set of connections and transactions was put to the test during the Russia–Ukraine conflict. The TVP-VAR model is used to investigate the connectedness among G7 stock indices and commodity markets. Results show that spillovers are dynamic and crisis sensitive and the response at the war has been instantaneous and in counter trend. Therefore, the war significantly affected most of the G7 stock prices through commodity prices. This dependence on raw materials makes the G7 countries closely tied to the belligerents more sensitive than others to international crises and conflicts.