Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/181286
Authors: 
Dreger, Christian
Kholodilin, Konstantin A.
Ulbricht, Dirk
Fidrmuc, Jarko
Year of Publication: 
2016
Citation: 
[Journal:] Journal of Comparative Economics [Volume:] 44 [Issue:] 2 [Pages:] 295-308 [ISSN:] 0147-5967
Abstract: 
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.
Subjects: 
Political conflict
Russian ruble depreciation
Oil prices
Sanctions
JEL: 
C22
F31
F51
Published Version’s DOI: 
Creative Commons License: 
http://creativecommons.org/licenses/by-nc-nd/4.0
Document Type: 
Article
Document Version: 
Manuscript Version (Preprint)

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