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Volatility of ruble exchange rate: Oil and sanctions

Author

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  • Aganin, Artem

    (National Research University Higher School of Economics, Moscow, Russian Federation)

  • Peresetsky, Anatoly

    (National Research University Higher School of Economics, Moscow, Russian Federation)

Abstract

Stability of the national currency exchange rate is an important factor for sustainable economic growth. A number of papers demonstrate that in the oil exporting countries currency exchange rate to the large extent is defined by the international oil prices. However, there are almost no papers which consider dependence of the exchange rate volatility on the volatility of oil prices. In this paper, we use one-dimensional GARCH models and two-dimensional VAR-BEKK models to analyze the dependence of the ruble exchange rate volatility on the oil price volatility. We found out that this dependence is not constant in time and depends on various macroeconomic factors. This dependence significantly increases when oil prices are low and weakens when oil prices are high. The introduction of sanctions has increased the volatility of the ruble exchange rate. Sanctions have also increased the dependence of the ruble exchange rate volatility on oil price volatility. It is also shown that the impact of sanctions decreases with time, what can be interpreted as an adaptation of the Russian economy to sanctions.

Suggested Citation

  • Aganin, Artem & Peresetsky, Anatoly, 2018. "Volatility of ruble exchange rate: Oil and sanctions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 52, pages 5-21.
    • Handle: RePEc:ris:apltrx:0353
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    References listed on IDEAS

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    Cited by:

    1. Daniil Lomonosov & Andrey Polbin & Nikita Fokin, 2021. "The Impact of Global Economic Activity, Oil Supply and Speculative Oil Shocks on the Russian Economy," HSE Economic Journal, National Research University Higher School of Economics, vol. 25(2), pages 227-262.
    2. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    3. Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022. "Geopolitical risks and historical exchange rate volatility of the BRICS," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
    4. Kolesnikova, Anna & Fantazzini, Dean, 2021. "Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports," Energy Policy, Elsevier, vol. 157(C).
    5. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.

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    More about this item

    Keywords

    exchange rate volatility; oil price volatility; Russia; sanctions; AR-TGARCH; VAR-BEKK;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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