Russia–Ukraine war and systemic risk: Who is taking the heat?

Anum Qureshi,Muhammad Suhail Rizwan,Ghufran Ahmad,Dawood Ashraf

Finance Research Letters（2022）

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摘要

•A database for news regarding the Russia-Ukraine conflict is developed.•Using the ARMAX model, systemic risk implications of the news are investigated.•The systemic instability costs of the conflict go beyond Russia and Ukraine.•Economic sanctions pose significant systemic risk spillovers to Europe and the USA.

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关键词

Systemic risk,Russia–Ukraine war,Spillover risk,Sanctions

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