Global Uncertainty and BRICS+ Equity Markets: Spillovers from VIX, Geopolitical Risk, and U.S. Macro-Financial Shocks

This paper investigates how global uncertainty and macro-financial shocks transmitted to BRICS+ equity markets between April 2016 and July 2025. A vector autoregressive (VAR) framework, complemented by Granger-causality tests, variance decompositions, and impulse response functions, is employed to examine four key drivers: U.S. financial market volatility (VIX), geopolitical risk (GPRD), U.S. inflation expectations (T5YIE), and the U.S. term spread (T10Y3M). The findings show that the VIX functions both as a recipient and a transmitter of shocks, amplifying volatility across BRICS+ markets, with India, Brazil, and the Gulf states acting as important nodes in the global contagion network. By contrast, geopolitical risk shocks have only short-lived effects on both U.S. yields and emerging equity markets. Shocks to U.S. inflation expectations and yield-curve dynamics transmit quickly to BRICS+ markets but dissipate within a few days, underscoring efficient market adjustment. Overall, the evidence points to a multipolar structure of global contagion in which BRICS+ markets exert growing influence alongside the United States. These results offer important implications for risk management, portfolio diversification, and policy coordination under heightened uncertainty.