rusjelRussian Journal of Economics and LawRussian Journal of Economics and Law2782-2923"TCE "Taglimat"" Ltd.10.21202/2782-2923.2023.2.307-326OBQMGWrusjel-2410Research ArticleКРИПТОМИР И ЦИФРОВЫЕ ФИНАНСЫCRYPTO-WORLD AND DIGITAL FINANCEМежотраслевые эффекты заражения в российской экономике под влиянием пандемического шокаIntersectoral contagion effects in the Russian economy under the pandemic shockhttps://orcid.org/0000-0002-3152-3934МалкинаМ. Ю.MalkinaM. Yu.

Малкина Марина Юрьевна, доктор экономических наук, профессор, главный научный сотрудник Центра макро- и микроэкономики

Web of Science Researcher ID: http://www.researcherid.com/rid/M-2681-2017, AuthorID: 375698

г. Нижний Новгород

Marina Yu. Malkina, Doctor of Economics, Professor, Chief Researcher, Center for Macro- and Microeconomics

Web of Science Researcher ID: http://www.researcherid.com/rid/M-2681-2017, AuthorID: 375698

Nizhni Novgorod

mmuri@yandex.ruhttps://orcid.org/0000-0002-0494-9702БалакинР. В.BalakinR. V.

Родион Владимирович Балакин, кандидат экономических наук, старший научный сотрудник Центра налоговой политики; Центра макро- и микроэкономики

Web of Science Researcher ID: http://www.researcherid.com/rid/P-9715-2018, AuthorID: 719724

г. Нижний Новгород

г. Москва

Rodion V. Balakin, Candidate of Sciences in Economics, Senior Researcher, Center for Taxation Policy; Center for Macro- and Microeconomics

Web of Science Researcher ID: http://www.researcherid.com/rid/P-9715-2018, AuthorID: 719724

Nizhni Novgorod

Moscow

rodion-balakin@yandex.ruНациональный исследовательский Нижегородский государственный университет имени Н. И. ЛобачевскогоРоссияLobachevsky State University of Nizhni NovgorodRussian FederationНациональный исследовательский Нижегородский государственный университет имени Н. И. Лобачевского; Научно-исследовательский финансовый институт Министерства финансов РоссииРоссияLobachevsky State University of Nizhni Novgorod; Financial Research Institute of the Ministry of Finance of the Russian FederationRussian Federation202316062023172307326Copyright © Малкина М.Ю., Балакин Р.В., 20232023Малкина М.Ю., Балакин Р.В.Malkina M.Y., Balakin R.V.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.rusjel.ru/jour/article/view/2410Цель

Цель: идентификация наличия/отсутствия передачи финансового заражения между отраслями российской экономики в период пандемии 2020–2021 гг.

Методы

Методы: исследование основано на данных о межсессионной среднедневной доходности шести отраслевых индексов Российской торговой системы за период с 01.01.2019 по 23.02.2022. С помощью расчета скользящего коэффициента вариации для среднеотраслевого индекса Российской торговой системы и скользящего темпа прироста заражения 

коронавирусной инфекцией выделены три периода пандемического шока: краткосрочный (острая фаза пандемии), среднесрочный (охватывающий первую и вторую волны заражения) и долгосрочный (вплоть до объявления Россией СВО на Украине). Межотраслевое заражение идентифицировалось на основе усиления взаимосвязей между доходностью отраслевых активов с помощью анализа трех моментов распределения: скорректированного на гетероскедастичность коэффициента корреляции (теста Форбс – Ригобона), тестов на коасимметрию и кокуртозис распределения.

Результаты

Результаты: получены оценки масштабов и направленности финансового заражения между отраслями российской экономики в период пандемии. Во-первых, они свидетельствуют об увеличении подтвержденных случаев межотраслевого заражения в среднесрочном и долгосрочном периодах, что говорит о «долгосрочном следе» пандемии. Во-вторых, количество заражений растет по мере перехода к более высоким моментам распределения. В-третьих, главные отрасли российской экономики (металлургия и нефтяная отрасль), вопреки ожиданиям, оказались в наименьшей степени связанными с другими отраслями российской экономики в период пандемии. Телекоммуникационная сфера продемонстрировала наибольшую склонность к передаче заражения. Вполне ожидаемым является вывод о наибольшей подверженности заражению потребительской сферы и торговли.

Научная новизна

Научная новизна: впервые для российской экономики получены оценки межотраслевого финансового заражения в период пандемии, которые свидетельствуют о наличии как краткосрочных, так и долгосрочных эффектов пандемии, а также об усилении роли ряда отраслей (в частности, телекоммуникационной отрасли) в передаче заражения в период цифровизации экономики.

Практическая значимость

Практическая значимость: полученные данные могут быть полезными при управлении финансовой стабильностью отдельных отраслей в период кризисов пандемического типа.

Objective

Objective: to identify the presence/absence of transmission of financial contagion between sectors of the Russian economy during the 2020-2021 pandemic.

Methods

Methods: the study is based on data on the inter-sessional average daily profitability of six industry indices of the Russian trading system for the period from 01.01.2019 to 23.02.2022. Using the calculation of the sliding coefficient of variation for the average industry index of the Russian trading system and the sliding growth rate of coronavirus infection, three periods of pandemic shock were identified: short-term (acute phase of the pandemic), medium-term (covering the first and second waves of infection), and long-term (up to the announcement of the Russian special military operation in Ukraine). Intersectoral contamination was identified on the basis of strengthening the relationships between the profitability of industry assets by analyzing three distribution points: the correlation coefficient adjusted for heteroscedasticity (Forbes–Rigobon test), tests for co-asymmetry and co-kurtosis of the distribution.

Results

Results: estimates of the scale and direction of financial contagion between the Russian economic sectors during the pandemic were obtained. Firstly, they indicate an increase in confirmed cases of intersectoral contagion in the medium and long term, which indicates a “long-term trace” of the pandemic. Secondly, the number of contagions increases closer to higher distribution points. Thirdly, the main branches of the Russian economy (metallurgy and oil industry), contrary to expectations, turned out to be the least connected with other branches of the Russian economy during the pandemic. The telecommunications sector demonstrated the greatest propensity to transmit contagion. The conclusion about the consumer sphere and trade being the most exposed to contagion is rather expected.

Scientific novelty

Scientific novelty: for the first time, estimates of intersectoral financial contagion for the Russian economy during the pandemic have been obtained, which indicate the presence of both short-term and long-term effects of the pandemic, as well as the strengthened role of certain industries (in particular, the telecommunications industry) in the transmission of contagion under the economy digitalization.

Practical significance

Practical significance: the data obtained can be useful in managing the financial stability of individual industries during pandemic-type crises.

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