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The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach

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  • Korotin, Vladimir
  • Dolgonosov, Maxim
  • Popov, Victor
  • Korotina, Olesya
  • Korolkova, Inna

Abstract

The sanctions imposed against Russia in 2014 coincided with a shock in the oil market. It is believed that both the sanctions and the fall in prices over oil have affected both the ruble exchange rate, which devalued by 2 times in relation to the pre-crisis level. The authors of the article assess the impact of sanctions on the ruble exchange rate using ensemble empirical mode decomposition and Hurst exponent. Based on the theory of an effective market, the results of the article shown that in 2014–2015 there was no direct impact of sanctions on the ruble exchange rate.

Suggested Citation

  • Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
  • Handle: RePEc:eee:riibaf:v:48:y:2019:i:c:p:156-168
    DOI: 10.1016/j.ribaf.2018.12.012
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    Cited by:

    1. Owusu Junior, Peterson & Tweneboah, George, 2020. "Are there asymmetric linkages between African stocks and exchange rates?," Research in International Business and Finance, Elsevier, vol. 54(C).

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