UDC 336.6:338.242

Terekhov A.M.¹ (Nizhny Novgorod, Russian Federation)- terehoff.t@yandex.ru; Nikolenko P.G.² (Knyaginino, Russian Federation) – polinanikolenko59@mail.ru; Lazutina A.L.² (Knyaginino, Russian Federation) – lal74@bk.ru

¹Volga Branch of the Russian State University of Justice

²Nizhny Novgorod State University of Engineering and Economics

Abstract. The relevance of the study lies in the fact that the development of issues of transmission and fixation of financial contagion in foreign exchange markets will allow us to understand how financial crises can spread from one country to another through currency channels, and develop strategies to minimize these risks. In this aspect, we have analyzed the foreign exchange markets of Russia and the United States, namely, the transfer of financial contagion from the US dollar to the Russian ruble. Three crisis periods are analyzed: the global financial crisis of 2007-2009, the crisis caused by the COVID-19 pandemic and the global energy crisis of 2021-2023. To fix and assess financial contagion, special econometric methods are used in the work, including the calculation of Forbes-Rigobon test statistics and the covolatility distribution test. In addition, dynamic estimates of the Forbes-Rigobon test statistics were calculated to identify the intensity of contagion during crisis periods. To divide the analyzed period into stable and crisis periods, a graphical analysis of the volatility of the US dollar was used. The results of the study showed that the hypothesis of financial contagion of the ruble by the US dollar is not rejected, and the intensity of contagion was different. The highest contagion rates were recorded during the global financial crisis of 2007-2009, the lowest during the global energy crisis of 2021-2023. The data on currency quotes served as the information base of the study. Data source – information platform investing.com. The novelty of the study lies in the fact that we have undertaken an assessment of the intensity of the financial contagion of the ruble during periods of global economic turmoil, for which the Forbes-Rigobon test was adapted to obtain sliding dynamic estimates. The practical use of the results obtained will make it possible to detect weaknesses in the management of foreign exchange markets and prevent possible financial losses in times of crisis.

Keywords: financial contagion, economic crisis, anti-crisis measures, covolatility-test, Forbes-Rigobon test, intensity of financial contagion.

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For citation: Terekhov A.M., Nikolenko P.G., Lazutina A.L. The financial contagion of the ruble under the influence of the shocks of the modern world economy. CITISE, 2024, no. 4, pp. 29-39.