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