TY - JOUR

T1 - Assessing the Financial Interconnectedness between China and Russia: A Dynamic Approach

AU - Рогова, Елена Моисеевна

AU - Вукович, Дарко

AU - Фефелов, Дмитрий Леонидович

PY - 2025/6/23

Y1 - 2025/6/23

N2 - Our study investigates the dynamic connectedness and volatility spillovers between China and Russia, focusing on their economic and fi nancial market interactions from 2009 to 2023. Utilizing a Time- Varying Parameter Vector Autoregression (TVP–VAR) and the LASSO models, we examine how bilateral trade infl uences fi nancial markets, including stock indices, bond yields, and liquidity measures. We discover a moderate positive correlation between Chinese exports to Russia and the performance of Russian fi nancial markets, highlighting a still nascent, but growing role of trade structures. The results also show that economic relations between China and Russia have substantial impacts on their respective fi nancial markets, driven by evolving geopolitical and economic contexts. This study contributes to the understanding of international economic relations and fi nancial market dynamics, providing insights into the mechanisms of volatility transmission and the interconnectedness of global markets.

AB - Our study investigates the dynamic connectedness and volatility spillovers between China and Russia, focusing on their economic and fi nancial market interactions from 2009 to 2023. Utilizing a Time- Varying Parameter Vector Autoregression (TVP–VAR) and the LASSO models, we examine how bilateral trade infl uences fi nancial markets, including stock indices, bond yields, and liquidity measures. We discover a moderate positive correlation between Chinese exports to Russia and the performance of Russian fi nancial markets, highlighting a still nascent, but growing role of trade structures. The results also show that economic relations between China and Russia have substantial impacts on their respective fi nancial markets, driven by evolving geopolitical and economic contexts. This study contributes to the understanding of international economic relations and fi nancial market dynamics, providing insights into the mechanisms of volatility transmission and the interconnectedness of global markets.

KW - побочные эффекты волатильности

KW - российский и китайский финансовые рынки

KW - российско-китайские экономические отношения

KW - модель динамической векторной авторегрессии

KW - volatility spillovers

KW - China- Russia economic relations

KW - time-varying parameter VAR

KW - financial market dynamics

KW - financial interconnectedness

KW - China-Russia economic relations

KW - time-varying parameter VAR (TVP–VAR)

UR - https://www.mendeley.com/catalogue/a3eb4158-0841-38d1-8815-4510cf53a0c8/

U2 - 10.31737/22212264_2025_2_110-137

DO - 10.31737/22212264_2025_2_110-137

M3 - Article

SP - 110

EP - 137

JO - ЖУРНАЛ НОВОЙ ЭКОНОМИЧЕСКОЙ АССОЦИАЦИИ

JF - ЖУРНАЛ НОВОЙ ЭКОНОМИЧЕСКОЙ АССОЦИАЦИИ

SN - 2221-2264

IS - 2(67)

ER -