This study examines the dynamic interlinkages among energy, food, and metal commodity markets under geopolitical tensions using daily data from January 2022 to July 2025. The empirical framework integrates correlation analysis, Granger causality tests, and a Vector Error Correction Model (VECM) to capture both short- and long-run transmission mechanisms, with robustness assessed through impulse response functions, forecast error variance decomposition, and a Diebold–Yilmaz connectedness analysis across three structurally distinct geopolitical event windows. The results reveal asymmetric and sector-specific transmission patterns in which geopolitical risk significantly influences key commodity prices—particularly WTI crude oil, wheat, copper, and aluminium—confirming its role as a primary external shock driver. WTI emerges as the dominant transmitter of shocks, while industrial metals exhibit strong internal connectedness. Critically, gold’s role proves to be conditional and context-dependent: within an integrated energy–food–metal network under geopolitical stress, it functions primarily as a net receiver and passive absorber of macroeconomic uncertainty rather than as a systemic transmitter, a finding that complements, rather than contradicts, its established safe-haven role in financial asset pricing frameworks. These findings are subject to limitations, including reliance on futures price data and a linear VECM framework that may not fully capture nonlinear or regime-dependent dynamics.
Sari et al. (2026) studied this question.