Conference Agenda

In this paper, we analyze the effect of geopolitical risk exposure on the financial intermediation activities. Using the political distance proxy between Türkiye and other countries based on voting patterns concerning UN resolutions and foreign trade dataset, we construct a firm-level allocation of geopolitical risk. Our empirical strategy utilizes approximately 1.9 million bank-firm-year observations derived from Credit Registry, while employing ILST (industry-location-size-time) fixed effects method to control for financing demand and to attribute the variation to supply-side behavior. Our main results show that banks tend to curtail credit supply for firms with increasing exposure to geopolitical risk for both total and TL-denominated lending. This finding remains similar against a battery of robustness checks and alternative modelling choices. Furthermore, we find that geopolitical risk exposure is associated with higher lending rate, shorter maturities, lower collateral valuation and decreasing credit limits. The ex-post and ex-ante risk indicators of firms also deteriorate following disturbances in geopolitical risk exposure. Our subsequent estimations emphasize that the decline credit utilization is stronger for larger and industrial firms as well as firms with higher integration into global supply chain. Based on bank characteristics, state banks amplify the credit crunch due to geopolitical risks, while banks relying more on stable funding sources transmit such shocks less. Our baseline findings related to credit supply disruption is still evident when alternative empirical designs are followed including Bartik-style IV estimations and a case study focusing on Türkiye-US political tensions in 2018. Additionally, our analyses suggest that worsening geopolitical outlook is manifested in weaker future investment tendencies and firm efficiency.

This paper examines the occurrence of price bubbles on a global sample of listed stocks operating in the aerospace, defence, and space sectors; it also investigates the driving factors of price exuberance episodes by estimating a panel probit model on a dataset of 43 firms over 30 years from 1995 to 2024. The findings reveal that firms in the aerospace, defence, and space sectors experienced at least one episode of speculative bubble over the period considered. The onset of conflicts and the liberalization of the American space market for private investors represent the main instances in which episodes of price exuberance occurred. We also find that the geopolitical risk and the stock trading volume are significant driving factors of equity bubbles. These findings highlight the pressing necessity for financial market watchdogs to tackle significant innovation challenges associated with the advancement of the space economy. These steps are necessary to safeguard investors from speculative bubbles in the future and to ensure an orderly and sustainable development of the space sector.

This study examines the relationship between commodity returns and different types of risk at the firm level. Specifically, we investigate whether commodity returns influence total risk, systematic risk, and unsystematic risk using commodity betas to capture firms’ exposure to commodity price movements over the period January 2005 to May 2025. We employ monthly observations for twenty-six commodities grouped into five categories: agriculture, energy, industrial metals, precious metals, and livestock. The sample incorporates approximately 11.3 million monthly observations from 92,629 firms worldwide. Methodologically, we employ the Dynamic Model Averaging (DMA) framework developed by Koop and Korobilis (2012), which allows for model uncertainty and time-varying relationships between variables. The analysis is conducted at multiple levels. First, we examine the effect of an aggregate commodity factor derived from principal component analysis across all firms. Second, we explore the relationship across commodity groups and industries. Third, we assess the impact of the most influential commodity within each group. Finally, commodity indexes are used instead of principal components as a robustness check. Understanding these dynamics provides valuable insights for regulators monitoring systemic vulnerabilities and for investors seeking to manage portfolio risk and commodity market exposure.

This paper investigates volatility spillovers within the system of market-based finance (MBF) in the UK. Using a Generalised Vector Autoregressive (GVAR) framework and a novel decade-long dataset covering domestic and foreign-domiciled non-bank financial institutions (NBFIs, or non-banks), dealer banks, and core domestic markets, I estimate static and time-varying volatility spillover measures. Findings highlight a substantial role of non-banks as volatility transmitters and a material cross-border transmission channel, providing new insights beyond the prevailing focus on bank-driven and domestic contagion in the existing literature. Specifically, the non-bank segment associated with hedge fund-like activities consistently exhibits the largest volatility spillovers, while the inclusion of dealers - particularly foreign-owned subsidiaries - further amplifies transmission. Spillovers, however, vary markedly over time, peaking in the money market segment ahead of the liability-driven investment (LDI) crisis in the UK, offering novel evidence of shifts in transmission channels during market liquidity disruptions. Incorporating frequency-domain and tail-risk dynamics reveals that spillovers, while largely short-term, tend to persist under stress and display evolving distributional patterns over time. Results further show that cross-border linkages play a significant role in sovereign and corporate bond market volatility, advancing the literature by uncovering non-bank-to-core-market transmission channels within MBF.