How major geopolitical events affect tail risk contagion in global crude oil markets —evidence from the Russia-Ukraine conflict

作者：Xiao-Li Gong, Kai-Wen Jia, Xiong Xiong · 发表于：International Review of Economics & Finance · 年份：2025 · DOI：10.1016/j.iref.2025.104523 · 被引用次数：6 · 研究领域：Market Dynamics and Volatility、Global Energy Security and Policy、Economic Sanctions and International Relations

Under current geopolitical tensions, the international community is now placing a strong emphasis on risk management in global crude oil markets. This study uses the Russia-Ukraine conflict as an example to deeply investigate how major geopolitical events affect tail risk contagion in global crude oil markets. Firstly, the analysis of risk linkages between geopolitics and global crude oil markets is conducted using the wavelet coherence method across various time and frequency domains. Subsequently, the quantile time-frequency spillover model is applied to assess fluctuations in tail risk spillover indexes in global crude oil markets. Furthermore, utilizing the complex network perspective, the short-term and long-term cross-contagion features of tail risks under different market conditions pre and post the Russia-Ukraine conflict are analyzed. The findings show notable risk linkage effects in the short and long term between the geopolitics and crude oil markets of the United States, Russia and Saudi Arabia during the onset of this conflict. Additionally, this conflict has enhanced the short-term risk resilience of global crude oil markets, and the total spillover effect of tail risk has increased observably in the long term. The directional tail risk spillover results further indicate that the risk spillover relationship between crude oil markets in different countries varies with changes in market status and frequency domains, and risk contagion channels are complex. This co...