voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2024-12-50-68voprecotest-4997Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL ECONOMICSДинамика перетоков волатильности между секторами российской экономикиThe dynamics of volatility spillovers among Russian economy sectorshttps://orcid.org/0009-0002-4566-3468КудрявцеваЮ. В.KudryavtsevaYu. V.

Кудрявцева Юлия Владимировна - эксперт первой категории Департамента инфраструктуры финансового рынка Банка России.

Москва

Yulia V. Kudryavtseva.

Moscow

ula1810kudriavceva@gmail.comhttps://orcid.org/0009-0005-9275-0099МирзоянА. Г.MirzoyanA. G.

Мирзоян Ашот Гамлетович - ст. преподаватель кафедры экономики инноваций экономического факультета МГУ.

Москва

Ashot G. Mirzoyan.

Moscow

kell56@yandex.ruБанк РоссииРоссияBank of RussiaRussian FederationМосковский государственный университет имени М.В. ЛомоносоваРоссияLomonosov Moscow State UniversityRussian Federation2024041220240125068Copyright © Voprosy Ekonomiki, NP, 20242024Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/4997

Волатильность отражает существующий в экономике риск, а ее перетоки характеризуют величину рисков, передающихся от одного сектора к другому. Определена динамика перетоков волатильности между секторами российской экономики в кризисные периоды, секторы классифицированы на отдающие и принимающие шоки. Использованы данные о дневной доходности отраслевых индексов МосБиржи за 2018—2023 гг. Динамика перетоков волатильности определялась с помощью методологии Диболда-Йилмаза (Diebold—Yilmaz) на основе VAR-модели. Выявлено, что характер перетоков различается в докризисный период, в период пандемии COVID-19 и во время проведения СВО. Финансовый сектор выступает источником перетоков волатильности на протяжении первого и последнего периодов. Во время пандемии их приемниками становятся нефтегазовый и транспортный секторы. В период проведения СВО секторы металлургии и нефтехимии оказываются приемниками перетоков волатильности, а потребительских товаров и финансовый — их источниками.

Volatility is an indicator of the risk existing in the economy, and its volume characterizes the magnitude of risks transmitted from one sector to another. The objective of the study is to determine the dynamics of volatility spillovers among sectors of the Russian economy during crisis periods and classify sectors into shock transmitters and shock receivers. The daily returns of the Moscow Exchange sector indices for 2018-2023 acted as data. The Diebold-Yilmaz methodology based on the VAR model is used to determine the dynamics of volatility spillovers. The study has revealed that the nature of volatility spillovers differs in the pre-crisis period, during the COVID-19 pandemic, and during the special military operation (SMO). The financial sector is a source of volatility spillovers in the first and the last periods. During the pandemic, the oil and gas and transport sectors become volatility receivers. During the period of the SMO, the metallurgy and petrochemical sectors act as receivers of volatility spillovers, while the consumer goods and financial sectors act as their sources.

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