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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Journal of Comparative Economics

ISSN

0147-5967

e-ISSN

—

Svazek periodika

44

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

14

Strana od-do

295-308

Kód UT WoS článku

000377835600007

EID výsledku v databázi Scopus

2-s2.0-84957916357