Purpose This paper aims to study the relationships between a set of energy commodities (carbon emissions, Brent, heating oil and natural gas) and the geopolitical risk (GPR) indices of each of the G7 countries (USA, Japan, Germany, United Kingdom, France, Italy and Canada), before and after the beginning of the recent armed conflicts in Russia and Israel. Design/methodology/approach The authors applied a time-varying parameter-vector autoregression methodology, using the monthly GPR index data and the monthly commodities returns, which covers the period between July 2019 and August 2024. This time frame includes the events of the Russian–Ukrainian War and the Israel–Palestinian War, allowing this study to have two periods: one before the wars started and another after their beginning. Findings The authors concluded that natural gas is a transmitter of shocks in both periods to GPRJP and GPRCAN after the wars began. The other commodities in the prewar period were essentially net receivers of shocks. After the wars started, they underwent a complete transformation in their behavior related to the GPR indexes and became transmitters of shocks. Originality/value This significant shift in behavior is a key finding of the research, providing a new perspective on the dynamics between GPR and energy commodities. Practical and social implications are discussed from the perspective of business sustainability, thereby offering a novel contribution to the literature, while also analyzing recent crisis episodes using an appropriate technique.
Soromenho-Marques et al. (Thu,) studied this question.