FINANCIAL INFECTION IN THE AGRICULTURAL GOODS MARKET DURING THE GRAIN CRISIS OF 2022

DOI 10.32651/231-92

Issue № 4, 2023, article № 13, pages 92-99

Section: Problems of agroeconomic researches

Language: Russian

Original language title: ФИНАНСОВОЕ ЗАРАЖЕНИЕ НА РЫНКЕ СЕЛЬСКОХОЗЯЙСТВЕННЫХ ТОВАРОВ В ПЕРИОД ЗЕРНОВОГО КРИЗИСА 2022 ГОДА

Keywords: GRAIN CRISIS, FINANCIAL CONTAGION, AGRICULTURAL COMMODITY MARKETS, ENERGY MARKETS, FORBES-RIGOBON TEST, COSKEWNESS TEST, COCURTOSIS TEST, COVOLATILITY TEST

Abstract: The article examines the causes and conditions of the spread of financial contagion in the markets of agricultural goods in the conditions of the grain crisis of 2022. This crisis was caused by a failure in the export of food from Ukraine, which was preceded by a special military operation. Methodological approaches to financial contagion are substantiated, consisting in comparing the links between objects in pre-crisis and crisis periods. Approaches to the assessment of contagion using special econometric tests are disclosed: Forbes-Rigobonatest, coskewness test, cocurtosistest, covolatilitytest. Two hypotheses about the transmission of contagion were put forward, which were supposed to be confirmed or refuted in the practical part of the study. In the process of assessing the contagion, information on prices for futures contracts of the portal was used Investing.com . In the practical part of the study, estimates of the contagion of agricultural goods from the grain and energy market were obtained, the coefficient of contagion of agricultural goods was calculated. It is concluded that during the crisis of 2022, the contagion spread more actively in agriculture from the grain market than from the energy market. Oats and soy flour were the most affected by contagion, raw sugar and soybean oil were the least affected. A detailed study of these issues made it possible to identify assets that are most susceptible to financial contagion in conditions of instability. This information may be useful for investors to manage their assets.

Authors: Ovcharov Anton Olegovich, Terekhov Andrei Mikhailovich