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The Impact of Economic Sanctions and Oil Prices on Russia’s Ruble

Wirtschaftswissenschaften

Autoren:
Fidrmuc, Jarko, Dreger, Christian, Kholodilin, Konstantin A., Ulbricht, Dirk
Titel:
The Impact of Economic Sanctions and Oil Prices on Russia’s Ruble
Kurzzitat:
Fidrmuc, Jarko, Dreger, Christian, Kholodilin, Konstantin A., Ulbricht, Dirk: The Impact of Economic Sanctions and Oil Prices on Russia’s Ruble, Journal of Comparative Economics, 2016; Jg. 44 (2): 295-308: http://10.1016/j.jce.2015.12.010 (download: https://ideas.repec.org/p/hhs/bofitp/2015_025.html) .
Publikationstyp:
Originalarbeiten in wissenschaftlichen Fachzeitschriften mit Review-Verfahren
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.
URL
http://10.1016/j.jce.2015.12.010
Kontakt:
Zeppelin-Lehrstuhl für Internationale Wirtschaftstheorie & -politik (eingerichtet 05 / 2011)

Am Seemooser Horn 20
88045 Friedrichshafen

Tel: +49 7541 6009-1241
Fax: +49 7541 6009-1299
Email: jarko.fidrmuc@zu.de
http://www.zeppelin-university.de/deutsch/lehrstuehle/internationales_management/internationales_management_profil.php
Forschungsbericht der Abteilung für das Jahr 2016