Regional Automotive Markets and Global Risk: An Empirical Assessment
Regional Automotive Markets and Global Risk: An Empirical Assessment

Summary/Abstract: The automotive industry plays a central role in the global economy, with its dynamics closely tied to financial and geopolitical stability. This study investigates the connection between regional automotive markets in the United States, Europe, China, and Japan and two established indicators of global uncertainty: the CBOE Volatility Index (VIX) and the Geopolitical Risk Index (GPR). Using continuous wavelet transform and wavelet coherence analysis on daily data, the research uncovers time– frequency patterns in the transmission of financial and geopolitical shocks. The findings show that the U.S. and China act as epicenters of instability, the former closely linked to financial volatility, and the latter highly sensitive to geopolitical and trade tensions. Europe and Japan, while deeply embedded in global supply chains, primarily appear as receivers of shocks, reacting most strongly during systemic crises such as the COVID-19 pandemic or the 2022 energy crisis, which was triggered by Russia’s invasion of Ukraine and the subsequent surge in global energy prices. The paper contributes by highlighting the heterogeneity of regional interdependencies and the asymmetric roles of automotive markets in shaping global risk dynamics. These insights provide a valuable framework for investors and policymakers, underscoring the importance of region-specific risk monitoring in anticipating global instability.

• Details
• Contents