In this work, we seek to study the relationships between a set of energy commodities (Carbon Emissions, Brent, Heating Oil, and Natural Gas) and the Geopolitical Risk (GPR) indices of each of the G7 countries (United States, Japan, Germany, United Kingdom, France, Italy, and Canada), before and after the beginning of the recent armed conflicts in Russia and Israel. We applied a TVP-VAR methodology, using the monthly GPR indexes data and the monthly commodities returns, that covers the period between July 2019 and August 2024. The selection of this time frame considered the events of the Russian-Ukraine War and the Israel-Palestine War, allowing us to have two periods, one before the wars started and another after their beginning. We concluded that Natural Gas is a transmitter of shocks in both periods to GPR_JP and GPR_CAN after the wars began. The other commodities in the pre-war period were essentially net receivers of shocks. After the wars started, they underwent a complete transformation in their behavior related to the GPR indexes and became transmitters of shocks. This significant shift in behavior is a key finding of our research, providing a new perspective on the dynamics between GPR and energy commodities.

Keywords: Geopolitical Risk; G7; Commodities; Energy

JEL classification: C32; F51; Q43