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Assessing the financial interconnectedness between China and Russia: A dynamic approach

Author

Listed:
  • Fefelov, D.

    (St. Petersburg State University, Research Center for Market Efficiency and Applied Finance, St. Petersburg, Russia
    Graduate School of Management, St. Petersburg, Russia)

  • Rogova, E.

    (St. Petersburg State University, Research Center for Market Efficiency and Applied Finance, St. Petersburg, Russia
    Graduate School of Management, St. Petersburg, Russia)

  • Vukovic, D.

    (St. Petersburg State University, Research Center for Market Efficiency and Applied Finance, St. Petersburg, Russia
    Graduate School of Management, St. Petersburg, Russia)

Abstract

Our study investigates the dynamic connectedness and volatility spillovers between China and Russia, focusing on their economic and financial market interactions from 2009 to 2023. Utilizing a Time-Varying Parameter Vector Autoregression (TVP-VAR) and the LASSO models, we examine how bilateral trade influences financial 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 financial 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 financial markets, driven by evolving geopolitical and economic contexts. This study contributes to the understanding of international economic relations and financial market dynamics, providing insights into the mechanisms of volatility transmission and the interconnectedness of global markets.

Suggested Citation

  • Fefelov, D. & Rogova, E. & Vukovic, D., 2025. "Assessing the financial interconnectedness between China and Russia: A dynamic approach," Journal of the New Economic Association, New Economic Association, vol. 67(2), pages 110-137.
    • Handle: RePEc:nea:journl:y:2025:i:67:p:110-137
    DOI: 10.31737/22212264_2025_2_110-137
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    More about this item

    Keywords

    volatility spillovers; China-Russia economic relations; time-varying parameter VAR (TVP-VAR); financial market dynamics; financial interconnectedness;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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