Tao Zhang, Li Tianzhuang, Chen Yadi, Huang Xiaoyue
Guangxi Colleges and Universities Key laboratory of Intelligent Logistics Technology, Nanning Normal University, Nanning, Guangxi, China.
School of Management and Economics, Nanning Normal University, Nanning, Guangxi, China.
PLoS One. 2025 Jun 18;20(6):e0326268. doi: 10.1371/journal.pone.0326268. eCollection 2025.
Geopolitical risks (GPR) can affect the prices of natural resources, which are crucial for survival and sustainable economies. Based on the TVP-VAR-BK models, this paper examines the asymmetric risk contagion between geopolitical risk, bulk energy, and chemical commodity from a time-frequency perspective. The results show that the risk contagion of geopolitical risks, bulk energy and chemical commodity markets has time-varying asymmetry and periodicity, and is susceptible to extreme events. Furthermore, the main driving factor is high-frequency spillover, which has "short-term fragility", that is, the risk spillover in the short term is more significant than in the medium and long term, and network spillover is mainly caused by negative risk changes. In addition, the bulk energy market is the main risk transmitter, while the chemical commodity market is the main risk receiver. The risk contagion of crude oil on bitumen markets is the most significant. Finally, as a downstream market of the crude oil industry, the chemical commodity market not only directly accepts risk contagion from the crude oil market, but also transmits risks along the "bulk energy - geopolitical risk - chemical commodity" path. This evidence has important implications for governments and regulators in taking steps to prevent extreme spillover effects and a series of chain reactions from geopolitical risks.
地缘政治风险（GPR）会影响自然资源价格，而自然资源价格对生存和可持续经济至关重要。基于时变参数向量自回归-贝叶斯-柯克模型（TVP-VAR-BK），本文从时频视角考察地缘政治风险、大宗商品能源和化工商品之间的不对称风险传染。结果表明，地缘政治风险、大宗商品能源和化工商品市场的风险传染具有时变不对称性和周期性，且易受极端事件影响。此外，主要驱动因素是高频溢出，具有“短期脆弱性”，即短期风险溢出比中长期更显著，且网络溢出主要由负面风险变化引起。此外，大宗商品能源市场是主要风险传导者，而化工商品市场是主要风险接受者。原油对沥青市场的风险传染最为显著。最后，作为原油行业的下游市场，化工商品市场不仅直接接受来自原油市场的风险传染，还会沿着“大宗商品能源-地缘政治风险-化工商品”路径传导风险。这一证据对于政府和监管机构采取措施防范地缘政治风险带来的极端溢出效应和一系列连锁反应具有重要意义。
