The Effect of the Russia–Ukraine Invasion on Macroeconomic Variables, Investor Sentiment and Commodities: A Frequency Connectedness among G7

This paper examines the temporal and frequency connectedness among macroeconomic variables, commodities and investor sentiment in G7 countries over the period from January 2014 to July 2025, with particular attention to the 2022 Russia–Ukraine war. Using Diebold and Yilmaz ( 2012 ) for time-domain analysis and Baruník and Křehlík ( 2018 ) for frequency-domain decomposition, we investigate the transmission of shocks over short- and long-term horizons. The results reveal pronounced heterogeneity: financial markets serve as short-term net transmitters, whereas commodities such as oil, gas and wheat propagate persistent long-term shocks. Monetary indicators typically act as net receivers, while the Google Sentiment Index reflects immediate shifts in investor sentiment. These findings underscore the asymmetric and horizon-dependent nature of contagion, highlighting the importance of horizon-specific investment strategies and policy measures to mitigate systemic risk.