Between the hammer and the anvil: The impact of economic sanctions and oil prices on Russia's ruble

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F16%3A10326509" target="_blank" >RIV/00216208:11230/16:10326509 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1016/j.jce.2015.12.010" target="_blank" >http://dx.doi.org/10.1016/j.jce.2015.12.010</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jce.2015.12.010" target="_blank" >10.1016/j.jce.2015.12.010</a>

Result language

angličtina

Original language name

Between the hammer and the anvil: The impact of economic sanctions and oil prices on Russia's ruble

Original language description

Exchange rate fluctuations strongly affect the Russian economy, given its heavy dependence on foreign trade and investment. In the aftermath of the conflict between Russia and Ukraine that broke out early 2014, the Russian ruble lost 50% of its value against the US dollar. The impact of the conflict on Russia may have been amplified by sanctions imposed by Western countries. However, as Russia is heavily dependent on natural resource exports, another factor behind the deterioration could be the sharp decline in oil prices starting in summer 2014. Using high-frequency data on nominal exchange and interest rates, oil prices, actual and unanticipated sanctions, we provide evidence on forces underlying the ruble exchange rate. The analysis is based on cointegrated VAR models, where fundamental long-run relationships are implicitly embedded. The results indicate that the bulk of the depreciation can be related to the decline of oil prices. In addition, unanticipated sanctions matter for the conditional volatility of the variables involved. Journal of Comparative Economics 44 (2) (2016) 295-308. DIW Berlin, Mohrenstrasse 58, 10117 Berlin, Germany; Zeppelin University, Friedrichshafen, Germany; IES, Charles University in Prague, Czech Republic; Henan University in Kaifeng, China.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Comparative Economics

ISSN

0147-5967

e-ISSN

—

Volume of the periodical

44

Issue of the periodical within the volume

2

Country of publishing house

US - UNITED STATES

Number of pages

14

Pages from-to

295-308

UT code for WoS article

000377835600007

EID of the result in the Scopus database

2-s2.0-84957916357