Küresel Sektörel Endeksler Arasındaki Dinamik Bağlantılılık ve Risk Aktarımı: COVID-19 ve Rusya-Ukrayna Savaşından Bulgular

Abstract

Bu çalışmada Covid-19 pandemisi ve Rusya-Ukrayna savaşı döneminde küresel sektörel endeksler arasındaki dinamik ilişkiler ve oynaklık etkileşimleri araştırılmıştır. Her iki kriz döneminde sektörel endeksler arasındaki bağlantılılık ilişkisinde değişimler değerlendirilmiştir. MSCI ACWI endeksleri kapsamında yer alan finansal, malzeme, sanayi, sağlık, enerji, temel tüketim malları sektörleri ele alınarak TVP-VAR-SV modeli ile incelenmiştir. Sonuçlar hem pandemi hem de savaş döneminde küresel sektörel endeksler arasındaki bağlantılılıklarda önemli artışlar yaşandığını göstermektedir. Pandemi döneminde sağlık sektörü bağlantılılık yapısının merkezinde yer almış, diğer sektörler ile güçlü bağlantılılık ilişkisi geliştirmiştir. Savaş döneminde ise enerji sektörünün bağlantılılık ilişkisinin merkezinde yer almış; enerji sektörü ile sağlık, finansal ve sanayi sektörleri arasındaki etkileşim güçlenmiştir. Pandemi döneminde sağlık ve finans; savaş döneminde ise enerji ve malzeme sektörlerine yüksek volatilite artışları yaşanmıştır. Savaş döneminde finansal sektöründe kısa vadeli şoklar baskınken, enerji ve sağlık sektörlerinde savaşın ilk dönemlerinde kısa vadeli şoklar, ilerleyen dönemlerde yerini uzun vadeli kalıcı şoklara bırakmıştır. Zamanla değişen etki tepki analiz sonuçları, pandemi döneminde sağlık ve sanayi sektörlerinde kısa vadeli şokların, finansal ve temel tüketim malları sektörlerinde uzun vadeli etkilerin baskın olduğunu göstermektedir. Ayrıca bulgular, finansal sektörünün her iki kriz döneminde de risk aktarımındaki öncü rolünü vurgulamaktadır.

Keywords

• Covid-19
• Rusya Ukrayna Savaşı
• MSCI ACWI
• TVP-VAR-SV

Dynamic Connectedness and Risk Transmission Among Global Sectoral Indices: Findings from COVID-19 and the Russia-Ukraine War

Abstract

This study explores the dynamic relationships and volatility spillovers among global sectoral indices during the Covid-19 pandemic and the Russia–Ukraine war. It evaluates changes in the connectedness of sectoral indices throughout both crisis periods. The finance, materials, industrials, health care, energy, and consumer staples sectors—represented by the MSCI ACWI indices—are analysed using the TVP-VAR-SV model. The findings reveal significant increases in cross-sectoral connectedness during both crises. During the pandemic, the health care sector was at the core of the connectedness network, exhibiting strong linkages with other sectors. Conversely, during the war, the energy sector assumed a central role, with intensified interactions particularly between the energy sector and the health care, financial, and industrials sectors. Marked increases in volatility were observed in the health care and financial sectors during the pandemic, and in the energy and materials sectors during the war. In the financial sector, short-term shocks predominated during the war, whereas in the energy and health care sectors, short-term shocks in the early phase gave way to long-term, persistent shocks later on. Over time, a changing impulse–response dynamic emerged: short-term effects dominated the health care and industrials sectors during the pandemic, while long-term impacts were more prevalent in the financial and consumer staples sectors. Furthermore, the results underscore the financial sector’s leading role in transmitting risk across sectors during both crisis periods.

Keywords

• Covid-19
• Russia-Ukraine War
• MSCI ACWI
• TVP-VAR-SV

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