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<p>This study explores the nonlinear and regime-specific impact of geopolitical risk and financial market volatility on major commodity and carbon emissions futures from January 2016 to April 2025. To capture asymmetric risk transmission, we decompose the geopolitical risk index into two components: geopolitical acts and geopolitical threats. Using a combined methodological framework, for instance, like wavelet-based time–frequency analysis and quantile regression, we identify scale- and quantile-dependent interdependencies across different uncertainty regimes. The results reveal that carbon futures are highly vulnerable to extreme market events, while silver and natural gas show pronounced nonlinear responses during extreme volatility. Gold offers only weak safe-haven protection, and oil and wheat display regime- and quantile-sensitive volatility patterns under both geopolitical and financial stress. Moreover, the integrated regression approach also uncovers hidden dependencies. Our findings provide new empirical evidence on risk transmission mechanisms and suggest policy implications for adaptive hedging, market regulation, and policy coordination, especially in reference to carbon markets.</p>

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Geopolitical risk and financial volatility: sectoral sensitivities in commodity and carbon emissions futures

  • 期刊论文

  • 发表日期：

    2025年12月20日

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  • Oana Panazan,
  • Catalin Gheorghe,
  • Aamir Syed,
  • Ahmed Jeribi

摘要

This study explores the nonlinear and regime-specific impact of geopolitical risk and financial market volatility on major commodity and carbon emissions futures from January 2016 to April 2025. To capture asymmetric risk transmission, we decompose the geopolitical risk index into two components: geopolitical acts and geopolitical threats. Using a combined methodological framework, for instance, like wavelet-based time–frequency analysis and quantile regression, we identify scale- and quantile-dependent interdependencies across different uncertainty regimes. The results reveal that carbon futures are highly vulnerable to extreme market events, while silver and natural gas show pronounced nonlinear responses during extreme volatility. Gold offers only weak safe-haven protection, and oil and wheat display regime- and quantile-sensitive volatility patterns under both geopolitical and financial stress. Moreover, the integrated regression approach also uncovers hidden dependencies. Our findings provide new empirical evidence on risk transmission mechanisms and suggest policy implications for adaptive hedging, market regulation, and policy coordination, especially in reference to carbon markets.