Abstract
This article analyzes the risk contribution of the Russian stock market to the risk of the Brazilian stock market and to the risk of the Brazilian agribusiness sector in the context of the Russia-Ukraine war. We use the CoVaR Model to capture the marginal risk contribution of a given institution to overall systemic risk. The sample included the (daily) indices: Moex, Agribusiness B3 and Bovespa in the period from January/2021 to November/2022. The main results indicate a decrease in the risk contribution of the Russian stock market to the Brazilian one, and an increase in the risk contribution of the Russian market to the risk of the Brazilian agribusiness sector. But the result was not statistically significant. Although Brazil depends on some inputs (agricultural) from the Russian market, it is a world exporter of agricultural products. In view of this and the results found, we suggest that even with the high production costs, Brazil was able to supply the demand repressed by the war, and stabilize the negative impacts on its economy.