Shocks propagation mechanism analysis on Russian commodity exchanges: The example of The Moscow Exchange
DOI:
https://doi.org/10.22394/1993-7601-2026-81-46-67Keywords:
механизм распространения, внешний шок, товарная биржа, Московская биржа, волатильность, фьючерсный контракт, методика оценки связности, TVP-VARAbstract
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.Downloads
References
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Samitas A., Kampouris E., Kenourgios D. (2020). Machine learning as an early warning system to predict financial crisis. International Review of Financial Analysis, 71, 101507. DOI: 10.1016/j.irfa.2020.101507.
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Tiwari A. K., Abakah E. J. A., Gabauer D., Dwumfour R. A. (2022). Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID‑19 pandemic: Implications for hedging and investments strategies. Global Finance Journal, 51, 100692. DOI: 10.1016/j.gfj.2021.100692.
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Wang G. J., Chen Y., Zhu Y., Xie C. (2024). Systemic risk prediction using machine learning: Does network connectedness help prediction? International Review of Financial Analysis, 93, 103147. DOI: 10.1016/j.irfa.2024.103147.
Zhang D., Broadstock D. C. (2020). Global financial crisis and rising connectedness in the international commodity markets. International Review of Financial Analysis, 68, 101239. DOI: 10.1016/j.irfa.2018.08.003.
