Estimation of financial contagion in agricultural commodity futures markets using correlation analysis

Abstract. In the context of financial instability affecting all sectors modern economy, an important direction is study effects contagion – transmission through different channels between countries, industries and individual economic assets. The purpose article was to analyze comovement prices for agricultural goods relationships profitability commodity futures obtain on this basis estimates scale in food markets. Methods. Advanced methods correlation analysis were used article: coefficients adjusted heteroscedasticity determined; hypothesis presence infection tested using Forbes Rigobon test statistics. addition, based calculation volatility rolling standard deviation method, time periods necessary detect distinguished. Scientific novelty. For first Russian practice, sector carried out; quantitative spreading internal exchange trade products obtained. Results. A dynamics some 2003–2022 made it possible identify increased It took highest values 2008–2009 2020–2022 during these periods, shocks led spread markets commodities. However, uneven. crisis 2008–2009, 51.8 % cases detected, while share 23.2 %. As paired bundles type “commodity-source  commodity-recipient”, most often sources recipients cocoa, coffee sugar, least soybean meal lean hogs. correlations conclude that predominance bidirectional contagion.