msueconВестник Московского университета. Серия 6. ЭкономикаLomonosov Economics Journal0130-0105MSUPRESS10.55959/MSU0130-0105-6-59-3-6msuecon-1108Research ArticleОТРАСЛЕВАЯ И РЕГИОНАЛЬНАЯ ЭКОНОМИКАBRANCH AND REGIONAL ECONOMYФинансовое заражение на сырьевых рынках в период пандемии COVID-19Financial contagion in raw materials markets during the COVID-19 pandemichttps://orcid.org/0000-0002-2356-4533ОвчаровА. О.OvcharovA. O.

Овчаров Антон Олегович — д.э.н., профессор, кафедра бухгалтерского учета.

Нижний Новгород

Nizhny Novgorod

anton19742006@yandex.ruhttps://orcid.org/0000-0002-2356-4533ТереховА. М.TerekhovA. M.

Терехов Андрей Михайлович — к.э.н., доцент, кафедра гуманитарных и социально-экономических дисциплин.

Нижний Новгород

Nizhny Novgorod

terehoff.t@yandex.ruНижегородский государственный университет им. Н.И. ЛобачевскогоРоссияLobachevsky State University of Nizhny NovgorodRussian FederationПриволжский филиал Российского государственного университета правосудияРоссияVolga Branch of the Russian State University of JusticeRussian Federation202426052024593123143Copyright © Овчаров А.О., Терехов А.М., 20242024Овчаров А.О., Терехов А.М.Ovcharov A.O., Terekhov A.M.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://msuecon.elpub.ru/jour/article/view/1108

В периоды глобальных шоков на разных рынках очень часто наблюдается разрастание кризисных процессов, которое можно рассматривать с позиции теории и методологии финансового заражения. В данной статье поставлена задача исследования особенностей трансмиссии финансового заражения на сырьевых рынках под воздействием пандемического шока. В работе обобщены подходы к пониманию сущности финансового заражения, показаны сложность и разнообразие методов его изучения, обсуждены результаты современных исследований по данной проблематике. Проанализировано распространение финансового заражения по каналам биржевой торговли сырьевыми товарами в условиях пандемического шока, вызванного COVID-19. Получены оценки внутрирыночного и межрыночного заражения на 4-х сырьевых рынках: энергоносителей, драгоценных металлов, металлов как сырья для промышленного производства, продукции сельского хозяйства как сырья для пищевой промышленности. Для парных связок сырьевых товаров строились одномерные GARCH-модели с выделением динамических условных корреляций в кризисный и докризисный периоды. Финансовое заражение фиксировалось при значительном увеличении средних условных корреляций в кризисный период. Сравнительный анализ масштабов заражения позволил сделать выводы о разной устойчивости сырьевых рынков к пандемическому шоку. Оценки внутрирыночного заражения показали, что самыми восприимчивыми к заражению оказались рынки обычных и драгоценных металлов. Наиболее устойчивым оказался рынок энергоносителей, промежуточное положение занял рынок продукции сельского хозяйства. Учет эффектов межрыночного заражения подтвердил высокий уровень восприимчивости к заражению рынка драгоценных металлов, а также позволил осуществить ранжирование товарных фьючерсов по степени заражаемости в период COVID-19. На этой основе сделан вывод, что в условиях пандемии COVID-19 инвестиции в золото не являются эффективным средством хеджирования. Диверсификаторами инвестиционного портфеля могут выступить некоторые сельскохозяйственные фьючерсы (на свинину и овес), поскольку тестовая статистика подтвердила минимальное число случаев заражения.

During periods of global shocks in different markets, we often observe expansion of crisis processes, which can be considered from theoretical and methodological standpoint of financial contagion. This paper aims to study the features of financial contagion transmission in commodity markets under the influence of the pandemic shock. The authors generalize the approaches to understanding the essence of financial contagion, show the complexity and diversity of methods for its study, and give the results of modern research on this problem. The spread of financial contagion through the channels of exchange trade in commodities in the context of the pandemic shock is analyzed. Estimates of intra-market and inter-market contagion in 4 raw materials markets were obtained: energy carriers, precious metals, metals as raw materials for industrial production, agricultural products as raw materials for food industry. For paired bundles of commodities, one-dimensional GARCH models are constructed with the allocation of dynamic conditional correlations in the crisis and pre-crisis periods. Financial contagion was recorded with a significant increase in the average conditional correlations during the crisis period. A comparative analysis of the scale of infection allows us to draw conclusions on different resilience of commodity markets to a pandemic shock. Estimates of intra-market contagion show that most susceptible to infection are the markets of ordinary and precious metals. The energy market turned out to be the most stable, the agricultural products market took an intermediate position. Taking into account the effects of inter-market contagion confirmed a high level of susceptibility to contagion of precious metals market, and also allowed for the ranking of commodity futures by the degree of contagion during the COVID-19 period. On this basis, it is concluded that in conditions of a pandemic, investments in gold are not an effective hedging tool. Some agricultural futures (for pork and oats) may act as diversifiers of investment portfolio, since test statistics confirmed a minimum number of cases of contagion.

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The authors declare that there are no conflicts of interest present.