The impact of the Russian-Ukrainian war on global financial markets
研究了2022年俄乌战争对欧洲及全球股市和大宗商品的影响，并与新冠疫情和2008年金融危机对比，发现股市和大宗商品反应最快，但危机强度较小，小麦和镍受影响最大。
On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.