Assessing the Causality Relationship between the Geopolitical Risk Index and the Agricultural Commodity Markets
Journal: Risks
Year: 2023

The aim of this study was to investigate the Granger causality between geopolitical risk (GPR) sub-indices in order to examine the implications of geopolitical risk on ten agricultural commodities classified as softs or grains. The Granger causality test was used to determine the causal relationship between the daily GPR sub-indices and the future prices of ten essential agricultural commodities from 31 March 2000 to 31 March 2022. We discovered that the GPR Threat and Act sub-indices Granger-ca