The global energy crisis of 2021—2022 significantly impacted the financial markets of many countries. The shock of price volatility in the oil and gas market triggered the transmission of crisis processes across various European countries, including those in the Baltic Sea region. This article analyses the effects of the energy crisis on these countries using the financial contagion methodology. The study aimed to estimate the financial contagion that spread through stock market channels in the Baltic Sea region during 2021—2022, as well as to systematize measures aimed at mitigating the consequences of the energy crisis and countering financial contagion. Using statistical analysis methods, the current state of the energy market in the Baltic region and its response to the conflict between Russia and Ukraine were examined. By reviewing a range of publications on the Baltic countries, evidence of financial contagion that emerged in different years under the influence of various shocks was identified. The financial contagion methodology was implemented by constructing DCC-GARCH models and estimating contagion effects using specialized test statistics. The calculations revealed that the energy crisis led to financial contagion in the markets of most Baltic Sea region countries. The study identified the causes of these countries’ vulnerability to financial contagion and provided additional estimates of contagion from a sectoral perspective. This allowed for conclusions to be drawn regarding the resilience of individual economic sectors to the crisis. The varying degrees of exposure to financial contagion were explained by differences in dependence on external energy supplies and the nature of anti-crisis policies. The paper systematized a set of specific anti-crisis measures for households and businesses in the Baltic Sea region and outlined strategies for countering financial contagion.
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The European economy is frequently impacted by shocks of varying magnitude, nature and duration, with examples including the global financial and debt crises, Brexit and COVID-19. Having struggled to fully address the consequences of the COVID-19 pandemic, European countries are now confronted with new challenges, primarily stemming from heightened international political tensions. The military conflict between Russia and Ukraine was a global shock, leading to rising inflation, higher interest rates and increased volatility in financial, raw materials and food markets [1]. In turn, this provoked shocks in energy markets, leading to an energy crisis, which reached a global scale in 2022
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