Russia–Ukraine war and systemic risk: Who is taking the heat?

•A database for news regarding the Russia-Ukraine conflict is developed.•Using the ARMAX model, systemic risk implications of the news are investigated.•The systemic instability costs of the conflict go beyond Russia and Ukraine.•Economic sanctions pose significant systemic risk spillovers to Europe and the USA. The Russia–Ukraine conflict has increased systemic vulnerabilities of the global financial system. We develop a database of news events and investigate the systemic risk implications of the conflict on Russia, Ukraine, France, Germany, Italy, the UK, the USA, and China. Results show that systemic instability costs of the conflict go beyond Russia and Ukraine. Sanctions cause systemic risk spillovers to European countries and the USA. Study findings caution against the accumulation of systemic risk as sanctions may adversely affect the rest of the world aside from the main target - Russia.