We examine the hedging properties of different asset classes as impacted by the Russian invasion of Ukraine in 2022. We employ wavelet coherence analysis to study the impact of geopolitical risk on various types of securities. We found that different asset classes exhibited unequal risk...

Using the geopolitical threats (GPT) index of Caldara and Iacoviello (2022), we show, in this paper, that the U.S. equity market and a few individual sectors produce significantly positive returns during high geopolitical threats, even with the presence of standard controls, while other major...

In this paper, we demonstrate that the U.S. equity market and a few specific sectors produce significantly positive returns during high geopolitical threats, even with the presence of standard controls, whereas other major markets around the world fail to exhibit such results. We use the...