Transmission of Financial Contagion from the Energy Market to the Food Market during the Pandemic

Issue № 12, 2022, article № 2, pages 12-18

Section: Agrarian policy: problems and decisions

Language: Russian

Original language title: ПЕРЕДАЧА ФИНАНСОВОГО ЗАРАЖЕНИЯ ОТ РЫНКА ЭНЕРГОНОСИТЕЛЕЙ К РЫНКУ ПРОДОВОЛЬСТВЕННЫХ ТОВАРОВ В ПЕРИОД ПАНДЕМИИ

Keywords: PROFITABILITY OF FUTURES CONTRACTS, JOINT MOVEMENT OF ECONOMIC INDICATORS, INFECTION EFFECT, ENERGY MARKET, AGRICULTURAL GOODS MARKET, COVID-19 CRISIS, COSKEWNESS TEST, FORBES-RIGOBON TEST

Abstract: The objective of the study is to identify the presence of contamination effects from the raw materials markets of energy resources (oil and gas) to the markets of agricultural goods, their quantitative assessment. The article provides a brief overview of foreign publications that investigate the dependencies between agricultural and energy markets, accompanied by the spread of shock from oil/gas markets to food markets. The analysis of the scientific literature allowed us to identify two main directions of studying the links between the agricultural and energy markets: the "concomitant movement" of economic indicators and the effects of financial contagion, i.e. the transmission of shocks through different channels from the source to the recipient. The result of the practical part of the study was quantitative assessments of the effects of infection from energy markets (oil, gas) to food markets during the COVID-19 pandemic. For such an assessment, special econometric methods were used: comparison of correlations between energy resources and goods in pre-crisis and crisis periods, coskewness test and Forbes-Rigobon test. Previously, fluctuations in yields on the energy market and the average yield on agricultural goods were considered. Significant fluctuations in oil and gas yields were revealed in the first months of the crisis, which subsequently decreased. Based on the correlation analysis of futures yields for raw materials and agricultural commodities in the pre-crisis and crisis periods, assumptions were formulated about the contamination of sugar, pork, wheat and soybeans markets from the gas market. The Forbes-Rigobon test recorded infection in the "gas®sugar" and "gas®wheat" bundles, and the distribution coskewness test – in the "gas® coffee", "oil ® corn", "oil ®oats" bundles.

Authors: Ovcharov Anton Olegovich, Terekhov Andrei Mikhailovich, Nikolenko Polina Grigorevna, Gavrileva Tatiana Fedorovna