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<p>Geopolitical risk (GPR) has a substantial and dynamic influence on global food prices, especially during periods of heightened conflict. This paper employs the Time-Varying Parameter Vector Autoregressive (TVP-SV-VAR) model to investigate the evolving relationship between GPR and food prices using monthly data from January 1997 to August 2023. Our findings reveal significant time-varying effects of GPR, oil prices, the U.S. dollar (USD), and global economic policy uncertainty (GEPU) on food prices, with pronounced shifts observed during key geopolitical events such as the Russia-Ukraine conflict. Notably, GPR has an immediate positive effect on food prices during intense conflict, though its influence varies across different time periods and events. These findings hold important policy implications for addressing food price volatility and guiding investment strategies, particularly in commodity and agricultural markets.</p>

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The impact of geopolitical risk on food prices: evidence from the TVP-SV-VAR model

  • 期刊论文

  • 发表日期：

    2025年3月25日

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  • Qiang Liu,
  • Chen Xu,
  • Zhenwei Xu

摘要

Geopolitical risk (GPR) has a substantial and dynamic influence on global food prices, especially during periods of heightened conflict. This paper employs the Time-Varying Parameter Vector Autoregressive (TVP-SV-VAR) model to investigate the evolving relationship between GPR and food prices using monthly data from January 1997 to August 2023. Our findings reveal significant time-varying effects of GPR, oil prices, the U.S. dollar (USD), and global economic policy uncertainty (GEPU) on food prices, with pronounced shifts observed during key geopolitical events such as the Russia-Ukraine conflict. Notably, GPR has an immediate positive effect on food prices during intense conflict, though its influence varies across different time periods and events. These findings hold important policy implications for addressing food price volatility and guiding investment strategies, particularly in commodity and agricultural markets.