IDEAS home Printed from https://ideas.repec.org/a/nos/voprec/y2024id4997.html
   My bibliography  Save this article

The dynamics of volatility spillovers among Russian economy sectors

Author

Listed:
  • Yu. V. Kudryavtseva
  • A. G. Mirzoyan

Abstract

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.

Suggested Citation

  • Yu. V. Kudryavtseva & A. G. Mirzoyan, 2024. "The dynamics of volatility spillovers among Russian economy sectors," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 12.
  • Handle: RePEc:nos:voprec:y:2024:id:4997
    DOI: 10.32609/0042-8736-2024-12-50-68
    as

    Download full text from publisher

    File URL: https://www.vopreco.ru/jour/article/viewFile/4997/2714
    Download Restriction: no

    File URL: https://libkey.io/10.32609/0042-8736-2024-12-50-68?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nos:voprec:y:2024:id:4997. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: NEICON (email available below). General contact details of provider: https://www.vopreco.ru .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.