Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities
Abstract
This study measures the spillover effects of the Russia-Ukraine war and the COVID-19 pandemic on currency pairs as the Russian ruble, Czech koruna, Polish zloty, Hungarian forint, Swedish krona, Bulgarian lev, Danish krone, Romanian leu, Ukrainian hryvnia, and Turkish Lira. By employing the TVP-VAR model we investigate the dynamic connectedness among these currencies and key energy and agricultural commodities. The data series encompasses two consecutive non-economic shocks – the Ukraine war and the COVID-19 pandemic – and a preceding period of general stability during 2018 and 2019. The importance of geopolitical context in shaping currency dynamics was present in countries with heavy dependence on Russian gas. The findings indicate a limited direct impact of commodity price fluctuations on the value of these currencies. At the same time, geopolitical decisions primarily related to the Russian Ruble and energy dependencies significantly impacted their valuation. The study reveals the complexity of currency dynamics and the influence of geopolitical risks and global health crises on exchange rate volatility and commodity dependencies.
Keyword : Russia-Ukraine war, COVID-19, TVP-VAR, currency dynamics, energy and agricultural commodities, FX market
How to Cite
Aliu, F., Apanovych, Y., Bajra, U., & Nuhiu, A. (2024). Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities. Journal of Business Economics and Management, 25(5), 1097–1119. https://doi.org/10.3846/jbem.2024.22518
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Hossain, A. T., Masum, A. A., & Saadi, S. (2024). The impact of geopolitical risks on foreign exchange markets: Evidence from the Russia–Ukraine war. Finance Research Letters, 59, Article 104750. https://doi.org/10.1016/j.frl.2023.104750
Humphreys, M. (2005). Natural resources, conflict, and conflict resolution: Uncovering the mechanisms. Journal of Conflict Resolution, 49(4), 508−537. https://doi.org/10.1177/0022002705277545
International Grains Council. (2023). Grain Market Report 2022/23. Retrieved May 23, 2024, from https://www.igc.int/en/default.aspx
Khan, K., Khurshid, A., & Cifuentes-Faura, J. (2023). Investigating the relationship between geopolitical risks and economic security: Empirical evidence from central and Eastern European countries. Resources Policy, 85, Article 103872. https://doi.org/10.1016/j.resourpol.2023.103872
Kiesel, F., & Kolaric, S. (2023). Should I stay or should I go? Stock market reactions to companies’ decisions in the wake of the Russia-Ukraine conflict. Journal of International Financial Markets, Institutions and Money, 89, Article 101862. https://doi.org/10.1016/j.intfin.2023.101862
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Liadze, I., Macchiarelli, C., Mortimer‐Lee, P., & Sanchez Juanino, P. (2023). Economic costs of the Russia‐Ukraine war. The World Economy, 46(4), 874−886. https://doi.org/10.1111/twec.13336
Lubik, T. A., & Matthes, C. (2015). Time-varying parameter vector autoregressions: Specification, estimation, and an application. Estimation and an application. https://doi.org/10.21144/eq1010403
Martins, A. M., Correia, P., & Gouveia, R. (2023). Russia-Ukraine conflict: The effect on European banks’ stock market returns. Journal of Multinational Financial Management, 67, Article 100786. https://doi.org/10.1016/j.mulfin.2023.100786
Raza, S. A., Guesmi, K., Benkraiem, R., & Anwar, R. (2024). Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods. Research in International Business and Finance, 67, Article 102138. https://doi.org/10.1016/j.ribaf.2023.102138
Rehman, M. U., Al Rababa’a, A. R., El-Nader, G., Alkhataybeh, A., & Vo, X. V. (2022). Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure? Journal of International Financial Markets, Institutions and Money, 76, Article 01495. https://doi.org/10.1016/j.intfin.2021.101495
Reuters. (2022). Poland ends deal to receive Russian gas after ruble dispute. Retrieved October 30, 2023, from https://www.reuters.com/markets/commodities/poland-ends-deal-receive-russian-gas-after-rouble-dispute-2022-05-23/
Reuters. (2023). Exclusive: India, Russia suspends negotiations to settle trade in rupees. Retrieved October 30, 2023, from https://www.reuters.com/markets/currencies/india-russia-suspend-negotiations-settle-trade-rupees-sources-2023-05-04/
Shaikh, I., & Huynh, T. L. D. (2022). Does disease outbreak news impact equity, commodity and foreign exchange market? Investors’ fear of the pandemic COVID-19. Journal of Economic Studies, 49(4), 647−664. https://doi.org/10.1108/JES-10-2020-0503
Sokhanvar, A., & Lee, C. C. (2023). How do energy price hikes affect exchange rates during the war in Ukraine? Empirical Economics, 64(5), 2151−2164. https://doi.org/10.1007/s00181-022-02320-7
Tanin, T. I., Sarker, A., & Brooks, R. (2021). Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period. International Review of Financial Analysis, 77, Article 101868. https://doi.org/10.1016/j.irfa.2021.101868
Thai Hung, N. (2023). Time-varying connectedness and causality between oil prices and G7 economies exchange rates. Evidence from the COVID-19 and Russia-Ukraine crises. Studies in Economics and Finance, 40(5), 814−838. https://doi.org/10.1108/SEF-04-2023-0184
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