Shocks propagation mechanism analysis on Russian commodity exchanges: The example of The Moscow Exchange

Abstract

Events over the past twenty years have demonstrated that the largest crises have been provoked by external shocks, with financial and commodity markets playing a significant role in their spread. This paper aims to identify and describe the shock propagation mechanism using the example of the Moscow Exchange commodity market. This study explores the time series volatility of commodity futures contracts for the period from January 2021 to February 2025. This work implements a new approach to time series analysis—Connectedness Approach based on the TVP-VAR model. This study contributes to the expansion of research on the analysis of shock propagation mechanisms in Russian financial markets in two ways: by applying a methodology for assessing connectivity and by analyzing data from the commodity market on the Moscow Exchange. The paper shows that oil is a source of changes in the commodity market. It is shown that oil is a source of changes that are passed on to precious metals. During the period under review, gas remained relatively independent of other commodities.