Влияние эффектов перетекания волатильности на политическую неопределенность, цены на нефть, биржу и рынки драгоценных металлов в российской экономике
DOI:
https://doi.org/10.17059/ekon.reg.2022-2-6Аннотация
Российская экономика — это развивающаяся экономика, природные ресурсы играют доминирующую роль в экономическом развитии страны. Следовательно, на национальную экономику влияет значительная волатильность цен на ресурсы. В статье исследуется влияние эффектов перетекания волатильности на политическую неопределенность, мировые цены на нефть, обменный курс, фондовые индексы и цены на металлы в российской экономике за период со 2 июля 2008 г. по 15 мая 2020 г. Для анализа использована модель векторной авторегрессии с изменяющимися во времени параметрами (TVP-VAR). Проведенное эмпирическое исследование показывает, что цена на золото, политическая неопределенность, цена на нефть и фондовый индекс являются источниками волатильности. В то же время, волатильность влияет на такие факторы, как палладий, платина, серебро и обменный курс рубля. Рыночная капитализация является чистым донором, рынок серебра — чистым получателем. Палладий стал источником чистой волатильности после мирового финансового кризиса. Неопределенность российской экономической политики была основным источником волатильности с 2008 по 2014 гг., однако впоследствии волатильность других факторов оказывала на нее большее влияние. В 2014 г., когда цена на нефть значительно снизилась, цена на золото была основным источником волатильности для других рынков. Полная связанность рынков в значительной степени зависит от ряда экзогенных потрясений, таких как экономические санкции, введение режима плавающего обменного курса, падение цен на нефть. Исходя из представленного анализа, сформулировано несколько рекомендаций для портфельных инвесторов и стейкхолдеров в российских регионах.
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