We evaluate the transmission of returns and volatility in the universe of commodities around the war in Ukraine. The total volatility spillover increases from 35% to 85%, exceeding the level seen during the pandemic. The role of commodities changes in both return and volatility spillover systems. Crude oil becomes a net transmitter of return spillovers whereas wheat and soybeans become net receivers of return spillovers. Silver, gold, copper, platinum, aluminium, and sugar become net transmitters of volatility. Geopolitical risk Granger causes the spillover indices. High levels of return and volatility spillovers are associated with high levels of geopolitical risk.

我们评估了乌克兰战争期间商品领域的回报和波动性的传递。总波动溢出率从 35% 增加到 85%，超过了大流行期间的水平。商品在收益和波动溢出系统中的作用发生了变化。原油成为回报溢出的净传递者，而小麦和大豆成为回报溢出的净接收者。银、金、铜、铂、铝和糖成为波动的净传递者。地缘政治风险格兰杰导致溢出指数。高水平的回报和波动溢出与高水平的地缘政治风险相关。