Russian Currency's external shocks and domestic policy effectiveness amid geopolitical tensions

被引：0

作者：

Gainetdinova, Anna ^{[1
]}

Sohag, Kazi ^{[1
]}

Samargandi, Nahla ^{[2
]}

机构：

[1] Ural Fed Univ, Grad Sch Econ & Management, Ekaterinburg, Russia

[2] King Abdulaziz Univ KAU, Fac Econ & Adm, Dept Econ, Jeddah, Saudi Arabia

来源：

BORSA ISTANBUL REVIEW | 2024年 / 24卷 / 02期

关键词：

Cross-quantilogram; Exchange rate; Frequency connectedness; Geopolitical risk; Macroeconomic policies; Russian economy; EXCHANGE-RATE; OIL PRICE; MONETARY-POLICY; UNCERTAINTY; VOLATILITY; SANCTIONS; DOLLAR; RATES;

D O I：

10.1016/j.bir.2024.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the dynamics of the Russian currency against the US dollar, exploring its responses to geopolitical risk, domestic policies, and oil and gas price shocks. Based on our quantile and time-frequency analyses from January 1998 to July 2022, focused on a subsample that covers the Russia-Ukraine conflict (January-July 2022), our research reveals that the Russian currency has significant vulnerability to geopolitical risk. Domestic policies have a moderate impact on currency valuation, whereas oil prices play a pivotal role, exceeding the impact of domestic policies. Our findings offer strategic insights for hedging, identifying safehaven assets, and diversification strategies based on Russian-foreign currency dynamics, oil, and gas prices. These considerations are especially relevant amid geopolitical tensions and uncertainty, across various time periods and quantile levels.

引用

页码：406 / 423

页数：18

共 28 条

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