Geopolitical Shocks and Market Resilience: Evidence from Commodity, Crude Oil, Natural Gas, and Gold Markets

Amid heightened geopolitical risk (GPR) shocks this study empirically investigates the dynamic interconnectedness among key commodities—namely crude oil, natural gas, and gold markets—to evaluate their potential resilience to unfolding crises, including the Russia-Ukraine conflict, Middle Eastern supply chain disruptions, the COVID-19 pandemic, and the ongoing global economic recession. Utilizing a comprehensive daily dataset spanning January 2, 2008, to November 30, 2024, this research examines a significant time period that encompasses multiple global and regional financial crises. For empirical validation, the study employs the advanced econometric framework of TVP-VAR modeling. The findings reveal that commodity indices and gold primarily function as transmitters of volatility and spillovers, while the crude oil and natural gas—serves as the principal recipient of external shocks. The results from net—spillover estimation highlight that GPR, especially those arising from the United States and Russian Federations exert a more pronounced influence on the interconnectedness of commodity markets compared to GPR at global-level. This study observed that net volatility spillovers varies across underlined markets where GPR-Russ found to negatively influence net spillovers in the energy sector, while exerting a positive effect on gold markets. The study provides practical market—based insights for policymakers, investors, and stakeholders seeking to navigate periods of uncertainty where this study underscores the critical role of global and regional GPR in shaping the interconnected dynamics of global commodity markets.