Распространение финансового заражения в странах Европы под воздействием глобальных шоков

Abstract

This article examines the impact of global shocks of various nature on the development of the European economy within the framework of the theory and methodology of financial contagion. The content of the concept of “financial contagion” is revealed. The variety of methods of its detection is considered. It is shown that the methodology of financial contagion is useful in the study of financial crises. Based on data on local crises, the crisis burden indicator for the European region is calculated for the period from 1960 to 2019. In Europe, compared with other regions, this indicator takes on the lowest values, so the European economy is more resilient to crises. At the same time, the analysis of some empirical studies shows numerous episodes of financial contagion in the European zone. The results of original investigation which is based on large scale array of empirical data on stock indices and international trade are presented in the article. An advanced dynamic financial contagion test is used for analysis in this study. For situations caused by four global shocks contagion estimates are calculated which show different susceptibility levels of European countries to these shocks. On the other hand, the results of the analysis suggest that the COVID‑19 pandemic has the strongest impact on European countries because the calculated values of test statistics more often and significantly exceed the threshold level during this period (compared with other shocks such as the global financial crisis, BREXIT and the energy crisis). The main channel of contagion is the stock market, not trading. In addition, it can be noted that large European economies are not immune to financial contagion. They are as much its recipients as the weaker countries of the region. At the same time, they play the role of a damper, i. e. they do not transmit financial contagion within the European zone. Finally, the study identifies some directions of financial contagion counteractions in European countries that are linked to its transmission channels. Examples of the transformation of European economic policy caused by the impact of global shocks, contagion effects and stressful situations are given.