Connectedness Among Geopolitical Risk, Inflation, Currency Values, and Exports by TVP-VAR Analysis: A Worldwide Perspective

Nikolaos A. Kyriazis; Emmanouil M. L. Economou; Andreas Stergiou

doi:10.1515/peps-2023-0026

Published by De Gruyter October 23, 2023

Connectedness Among Geopolitical Risk, Inflation, Currency Values, and Exports by TVP-VAR Analysis: A Worldwide Perspective

Nikolaos A. Kyriazis , Emmanouil M. L. Economou and Andreas Stergiou

From the journal Peace Economics, Peace Science and Public Policy

https://doi.org/10.1515/peps-2023-0026

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Abstract

The article discusses the spillover impacts between geopolitical uncertainty, inflation, exchange rates, and exports worldwide by employing the Time-Varying Parameter Vector Autoregressive (TVP-VAR) methodology. The net directional pairwise and net total directional causality among these variables is examined in major advanced economies (US, UK, Germany, France, Israel, South Korea and Japan) and rising economies (Russia, Türkiye, China, India, Brazil, and South Africa). Normal market conditions (since early 2000) and stressed ones since the latest crises (the Covid-19 disease and the Russia–Ukraine conflict) are covered. It is revealed that the national currency value constitutes the most influential determinant of exports and inflation but also in the system examined. Currency values exert direct impacts on inflation but also indirect, affecting exports and enhancing geopolitical risk as this is found to increase inflationary pressures. Intriguingly, this gives credence to the emergence of a new channel of inflation-creation that works through geopolitical risk. Such linkages are more pronounced in the US, South Korea, and Brazil while Germany and France present the weakest relations. Inflation, the currency value, and exports turned out to be very decisive regarding the geopolitical risk in Russia during the Russia–Ukraine war.

Keywords: geopolitical risk; inflation; monetary policy; exchange rate; exports; TVP-VAR connectedness

JEL Classification: E31; E52; E58; E62; G15

Corresponding author: Nikolaos A. Kyriazis, Department of Economics, University of Thessaly, 28 October 78 Street, PC 38333, Volos, Greece, E-mail: knikolaos@uth.gr

Acknowledgments

The authors are grateful to the referees and the editor for their fruitful comments which led to the significant improvement of this paper.

Data availability statement: The data employed are available upon request.
Declaration of conflicting interests: The authors declare that there are no conflicting interests.

Appendix

Tables A1.1–A1.4

Table A1.1:

Summary statistics of geopolitical risk.

	Mean	Variance	Skewness	Ex. Kurtosis	JB	ERS	Q(10)	Q ²(10)
US_GPR	2.51	540.664	0.932^a	4.921^a	320.8^a	−7.806^a	19.229^a	2.860
UK_GPR	4.699	954.237	0.746^a	1.528^a	52.802^a	−7.306^a	20.054^a	3.747
Germany_GPR	9.991	3130.357	4.950^a	50.492^a	30666.112^a	−2.856^a	11.655^a	0.015
France_GPR	8.262	1736.107	0.821^a	1.431^a	54.965^a	−6.410^a	21.805^a	2.856
Israel_GPR	14.112	4109.503	1.914^a	5.374^a	504.264^a	−2.932^a	26.629^a	1.565
S_Korea_GPR	10.884	2831.15	1.583^a	5.005^a	406.197^a	−5.887^a	30.297^a	3.848
Japan_GPR	13.781	3471.039	1.421^a	3.153^a	208.711^a	−8.597^a	25.098^a	7.225
Russia_GPR	11.42	6302.04	10.162^a	138.946^a	228410.56^a	−6.945^a	4.119	0.037
Türkiye_GPR	15.312	5055.701	2.533^a	9.996^a	1454.73^a	−6.994^a	22.862^a	8.214
China_GPR	6.194	1495.913	0.867^a	1.189^a	51.217^a	−4.218^a	53.475^a	3.097
India_GPR	10.432	2391.15	0.885^a	0.696^a	41.906^a	−1.892^a	45.481^a	5.759
Brazil_GPR	30.397	12,621.6	3.396^a	19.108^a	4763.72^a	−8.226^a	22.176^a	0.472
S_Africa_GPR	28.177	13,262.7	4.373^a	29.086^a	10685.62^a	−6.342^a	38.412^a	13.376^b

^a ^, ^bDisplay significance at 1 %, 5 % and 10 %, respectively; Skewness: D’Agostino (1970) test; Kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; ERS: Stock, Elliott, and Rothenberg (1996) unit-root test with constant; Q(10) and Q ²(10): Fisher and Gallagher (2012) weighted portmanteau test.

Table A1.2:

Summary statistics of inflation.

	Mean	Variance	Skewness	Ex. Kurtosis	JB	ERS	Q(10)	Q ²(10)
US_inflation	−0.208	0.154	0.6^a	3.28^a	141.39^a	−4.224^a	82.553^a	56.384^a
UK_inflation	0.067	19.676	16.443^a	269.93^a	856536^a	−1.311^c	0.117	0.000
Germany_inflation	0.038	10.239	16.210^a	264.82^a	824534^a	−1.309^c	0.274	0.000
France_inflation	0.03	7.847	16.234^a	265.35^a	827793^a	−1.458^c	0.248	0.000
Israel_inflation	−0.135	0.184	−0.294^a	0.475	6.613^b	−3.694^a	38.19^a	24.216^a
S_Korea_inflation	−0.205	0.134	−0.105	−0.096	0.622	−6.808^a	58.464^a	9.506^c
Japan_inflation	0.002	0.149	4.196^a	52.09^a	32245^a	−3.84^a	11.532^b	0.075
Russia_inflation	1.714	1760.77	16.576^a	272.84^a	874998^a	−7.374^a	0.074	0.021
Türkiye_inflation	−1.303	2.605	−2.722^a	11.616^a	1096.3^a	−2.055^b	296.25^a	129.85^a
China_inflation	−0.172	0.37	−0.294^b	0.515^c	7.078^b	−2.472^b	22.326^a	7.159
India_inflation	−0.504	0.522	−0.587^a	3.298^a	141.94^a	−4.352^a	39.081^a	6.054
Brazil_inflation	−0.509	0.158	−1.442^a	6.287^a	554.1^a	−4.079^a	166.19^a	161.67^a
S_Africa_inflation	−0.429	0.191	−0.31^b	0.856^b	12.96^b	−2.265^b	55.63^a	28.683^a

^a, ^b and ^c display significance at 1 %, 5 % and 10 %, respectively; Skewness: D’Agostino (1970) test; Kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; ERS: Stock, Elliott, and Rothenberg (1996) unit-root test with constant; Q(10) and Q ²(10): Fisher and Gallagher (2012) weighted portmanteau test.

Table A1.3:

Summary statistics of national currencies.

	Mean	Variance	Skewness	Ex. Kurtosis	JB	ERS	Q(10)	Q ²(10)
US dollar index	0.035	5.135	0.065	0.55^c	3.759	−6.069^a	6.369	30.716^a
UK (Pound)	0.049	10.622	4.156^a	44.145^a	23373.89^a	−2.888^a	6.522	0.108
Germany (Euro)	0.039	7.89	−0.108	1.332^a	21.085^a	−6.649^a	4.123	35.18^a
France (Euro)	0.039	7.89	−0.108	1.332^a	21.085^a	−6.649^a	4.123	35.18^a
Israel (Shekel)	0.073	5.136	−0.249^c	0.607^c	7.139^b	−4.15^a	7.395	81.646^a
S_Korea (Won)	−0.007	9.524	0.154	4.809^a	268.948^a	−6.46^a	7.461	203.16^a
Japan (Yen)	0.031	8.398	1.215^a	9.442^a	1100.99^a	−3.732^a	4.219	3.574
Russia (Ruble)	0.382	146.13	14.016^a	216.785^b	563558.6^a	−7.731^a	3.742	0.025
Türkiye (Lira)	−1.13	24.511	−1.752^a	8.132^a	908.29^a	−6.673^a	9.714^c	1.13
China (Yuan)	0.072	0.872	−0.692^a	4.335^a	239.832^a	−6.11^a	33.04^a	79.434^a
India (Rupee)	−0.208	3.924	−0.173	2.455^a	71.179^a	−6.826^a	8.825	47.804^a
Brazil (Real)	−0.254	23.631	−0.409^a	2.018^a	54.918^a	−6.025^a	9.42^c	49.873^a
S_Africa (Rand)	−0.262	21.801	−0.255^c	0.197	3.467	−7.541^a	1.772	8.234

^a, ^b and ^c display significance at 1 %, 5 % and 10 %, respectively; Skewness: D’Agostino (1970) test; Kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; ERS: Stock, Elliott, and Rothenberg (1996) unit-root test with constant; Q(10) and Q²(10): Fisher and Gallagher (2012) weighted portmanteau test.

Table A1.4:

Summary statistics of exports.

	Mean	Variance	Skewness	Ex. Kurtosis	JB	ERS	Q(10)	Q ²(10)
US_exports	−0.314	10.833	3.91^a	40.967^a	20148.19^a	−6.82^a	11.685^b	7.897
UK_exports	0.132	30.341	4.734^a	39.726^a	19316.23^a	−3.86^a	4.199	0.277
Germany_exports	0.406	161.512	14.081^a	217.82^a	558747.8^a	−2.059^b	0.438	0.000
France_exports	0.16	44.388	9.95^a	123.32^a	180734.5^a	−4.6^c	0.861	0.058
Israel_exports	0.126	98.305	1.028^a	2.684^a	132.42^a	−1.672^c	66.104^a	6.082
S_Korea_exports	−0.342	28.867	1.212^a	5.576^a	428.16^a	−6.509^a	33.206^a	3.962
Japan_exports	0.109	28.247	5.336^a	52.659^a	33439.6^a	−4.646^a	11.754^b	0.079
Russia_exports	1.493	1226.029	16.025^a	260.74^a	799389.4^a	−6.77^a	0.107	0.022
Türkiye_exports	−0.589	43.831	2.145^a	13.576^a	2348.15^a	−4.86^a	12.618^b	33.98^a
China_exports	−0.678	74.645	3.416^a	32.931^a	13102.01^a	−2.02^b	47.771^a	19.793^a
India_exports	−0.466	90.363	2.422^a	22.972^a	6384.4^a	−1.842^c	11.192^b	84.665^a
Brazil_exports	−0.489	45.167	−0.223	0.797^b	9.665^a	−1.976^b	17.166^a	18.398^a
S_Africa_exports	0.074	131.908	5.391^a	66.572^a	52681.69^a	−7.328^a	28.135^a	6.427

^a, ^b and ^c display significance at 1 %, 5 % and 10 %, respectively; Skewness: D’Agostino (1970) test; Kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; ERS: Stock, Elliott, and Rothenberg (1996) unit-root test with constant; Q(10) and Q ²(10): Fisher and Gallagher (2012) weighted portmanteau test.

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Received: 2023-05-21

Accepted: 2023-08-14

Published Online: 2023-10-23

Connectedness Among Geopolitical Risk, Inflation, Currency Values, and Exports by TVP-VAR Analysis: A Worldwide Perspective

Abstract

Acknowledgments

References

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