Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340474 
Year of Publication: 
2024
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 24 [Issue:] 2 [Year:] 2024 [Pages:] 406-423
Publisher: 
Elsevier, Amsterdam
Abstract: 
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 safe-haven 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.
Subjects: 
Cross-quantilogram
Exchange rate
Frequency connectedness
Geopolitical risk
Macroeconomic policies
Russian economy
JEL: 
E52
E58
F31
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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