Intersectoral contagion effects in the Russian economy under the pandemic shock

Objective: to identify the presence/absence of transmission of financial contagion between sectors of the Russian economy during the 2020-2021 pandemic.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: 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: 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: the data obtained can be useful in managing the financial stability of individual industries during pandemic-type crises.