ASSESSING SHORT- AND LONG-TERM RISK SPILLOVERS IN THE ENERGY-FINANCIAL NEXUS: EVIDENCE FROM INTERNATIONAL COMMODITIES AND THE RUSSIAN STOCK MARKET

Abstract

This study investigates the bidirectional risk spillover effects between international energy commodities and the Russian financial market using a time-varying parameter vector autoregression (TVP-VAR) framework, frequency decomposition, and quantile spillover analysis. The research captures both short- and long-term volatility transmission and identifies asymmetries in extreme market conditions. Results indicate that energy markets are dominant transmitters of shocks, particularly during geopolitical and commodity price crises, while the Russian financial sector acts as a net receiver, exhibiting heightened vulnerability to downside risk. Quantile-based analysis further reveals pronounced tail-dependent effects, underscoring the necessity of incorporating extreme events in risk management. The study offers actionable insights for policymakers, financial regulators, and institutional investors, highlighting strategies for stress testing, hedging, and cross-border coordination to enhance market resilience. The paper contributes to the literature by extending bidirectional spillover analysis to the Russian context, incorporating time-frequency and quantile methodologies.