{"title":"Russian Currency's external shocks and domestic policy effectiveness amid geopolitical tensions","authors":"Anna Gainetdinova , Kazi Sohag , Nahla Samargandi","doi":"10.1016/j.bir.2024.02.002","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3000,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S221484502400022X/pdfft?md5=9c50cc14ec12a51cf96976c4dcc920d7&pid=1-s2.0-S221484502400022X-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S221484502400022X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
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.
期刊介绍：
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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