Analysing the effects of the Russia/Ukraine War on global commodity prices

Abstract

This dissertation investigates how the Russia–Ukraine war reshaped cross-market dynamics in global commodities and key financial indicators. Using daily data between 1st January 2019 and 30th June 2025 split into pre-war and war subsamples, it integrates two complementary approaches: the Diebold–Yilmaz (DY) spillover framework to quantify the magnitude and direction of volatility transmission, and the Toda–Yamamoto (TY) Granger methodology to identify predictive leadership while accommodating mixed integration orders. The primary research question that drives this study is: What are the effects of the Russia- Ukraine War on global commodity prices across key commodity classes, including energy, agriculture, and metals? This central question sets out the objective for this study to understand and measure the effect such conflicts have on commodity markets. The analysis documents a clear post-invasion rise in system-wide connectedness, with European gas and Rotterdam coal emerging as dominant transmitters and precious metals and financial indicators absorbing a larger share of shocks. Within agriculture, soybean oil stands out as a crisis amplifier, while several grains strengthen their roles as shock transmitters relative to the pre-war period. TY results reveal newly significant wartime causal links with coal leading gas, agriculture, and metals, seed oils leading within agriculture, and macro-financial variables increasingly predicting metals which indicates that the relationships extended beyond co-movement and towards directional influence. The integrated DY–TY map classifies assets into crisis amplifiers, volatility spreaders, system followers, and predictive non-spreaders, converting parallel results into a single, decision-useful architecture of contagion channels and buffers. The findings of the analysis argue for dynamic hedging and early-warning dashboards that track both connectedness and causal out-degree, and for policy tools focused on energy-to-food transmission pathways during geopolitical stress. The study concludes that the war constituted a structural break that compressed diversification and re-anchored market leadership around energy and seed-oil markets.