The geopolitical risk spillovers across BRICS countries: A quantile frequency connectedness approach

This paper investigates the geopolitical risk spillovers among BRICS countries during the 1985–2022 period. We adopt the novel quantile frequency connectedness approach, which allows us to examine the risk transmission by frequency and quantile. The geopolitical risks spread more intensely among BRI...

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Bibliographic Details
Published inScottish journal of political economy Vol. 71; no. 1; pp. 132 - 143
Main Authors Hong Vo, Duc, Dang, Tam Hoang‐Nhat
Format Journal Article
LanguageEnglish
Published Edinburgh Wiley Subscription Services, Inc 01.02.2024
Subjects
BRICS countries
Connectedness
extreme periods
geopolitical risk spillover
Geopolitics
quantile frequency connectedness
Risk
risk transmission
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Summary:This paper investigates the geopolitical risk spillovers among BRICS countries during the 1985–2022 period. We adopt the novel quantile frequency connectedness approach, which allows us to examine the risk transmission by frequency and quantile. The geopolitical risks spread more intensely among BRICS countries during extreme circumstances. The long‐term geopolitical risk spillovers are the main contributors to the overall spillovers. Additionally, we note that significant increases in spillovers are associated with remarkable political events. Russia is the most dominant country and the largest short‐term and long‐term geopolitical risk transmitter to other BRICS members during the research period.
ISSN:0036-9292
1467-9485
DOI:10.1111/sjpe.12355