Lomonosov Economics Journal,
Journal Year:
2024,
Volume and Issue:
5, 2024, P. 3 - 28
Published: Jan. 1, 2024
The
financialization
of
commodity
markets
leads
to
their
integration
with
global
financial
and
increasing
inclusion
in
chains
transmission
systemic
risk
the
economy.
Financial
contagion
is
an
atypical
increase
interdependence
under
influence
external
shocks.
subject
this
study
(soft
agricultural
goods)
from
energy
market
(oil
gas)
during
pandemic,
crisis
special
military
operation
Russia
Ukraine
(SMO).
purpose
establish
facts
contagion,
its
dynamics
intensity
for
different
groups
goods.
construction
author's
stress
indices
allows
us
distinguish
between
periods
a
calm
increased
volatility.
Testing
carried
out
using
ARDL-GARCH
models,
dynamic
method
co-moments
returns
distribution
source
recipient
market,
including
calculation
conditional
correlation,
coskewness,
cokurtosis
covolatility.
A
conclusion
about
possible
made
based
on
comparison
test
statistics
critical
value
normal
or
asymptotically
distribution.
confirmed
exchange-traded
futures
by
oil
natural
gas
all
periods.
Oil
showed
greater
contagiousness
compared
market;
proved
be
relatively
uniformly
contagious
periods,
while
more
SMO.
Agricultural
commodities
have
proven
susceptible
than
soft
commodities.
Stronger
occurs
at
higher
(volatility
return-volatility
return-asymmetry
contagion)
lower
results
obtained
can
useful
investors
developing
optimal
hedging
strategies
managing
investment
portfolios,
state
improving
stabilization
policies
crisis.
Energy Economics,
Journal Year:
2024,
Volume and Issue:
135, P. 107633 - 107633
Published: May 17, 2024
As
the
interconnection
of
European
electricity
markets
and
integration
renewables
progresses,
there
is
little
known
about
interconnectedness
across
them
at
times
market
turbulence.
The
crisis
2021
2023
were
significant
events
that
can
also
provide
lessons
in
behaviour
integrated
with
high
under
stress.
Despite
impacts
COVID-19
pandemic
Russia-Ukraine
war
on
energy
market,
their
effects
transmission
risks
between
markets.
We
employ
quantile
connectedness
approach
to
quantify
return
eleven
key
markets,
as
well
natural
gas
carbon
then
examine
effect
two
crises
interconnectedness.
find
interconnectedness,
driven
by
spillover
effects,
among
Analysis
quantiles
shows
are
much
stronger
tail
ends
conditional
distribution.
Moreover,
our
results
reveal
opposite
from
While
reduced
intensified
shock
transmission.
Finally,
we
net
recipients
shocks
quantiles.
Tạp chí Kinh tế và Phát triển,
Journal Year:
2025,
Volume and Issue:
unknown
Published: Jan. 1, 2025
Nghiên
cứu
được
thực
hiện
nhằm
mục
tiêu
đánh
giá
hiệu
ứng
lan
truyền
rủi
ro
đuôi
giữa
tám
loại
tiền
điện
tử
(Bitcoin,
Ethereum,
Tether,
Binance,
USD
Coin,
XRP,
Dogecoin
và
Cardano)
trong
giai
đoạn
2018
–
2024.
Để
làm
rõ
vấn
đề
này,
nghiên
sử
dụng
mô
hình
tự
hồi
quy
có
điều
kiện
(Conditional
Autoregressive
Value-at-Risk:
CAViaR)
do
Engle
&
Mangenelli
(2004)
xuất
để
ước
tính
trị
bất
đối
xứng.
Sau
đó,
chỉ
số
tỏa
theo
phân
vị
Chatziantoniou
cộng
sự
(2021)
xác
định
dưới
các
thị
trường
thay
đổi
(rủi
cao,
trung
bình
thấp).
Kết
quả
tích
nghiệm
cho
thấy
đáng
kể
tại
ảo
cao.
Ngoài
ra,
vai
trò
nhận
của
từng
ràng
cụ
thể:
(1)
Trước
COVID,
(2)
Trong
COVID-19
(3)
Chiến
tranh
Nga–Ukraine.
là
kênh
thông
tin
quan
trọng
nhà
đầu
tư
chính
sách.
