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The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approachстатья
Информация о цитировании статьи получена из
Web of Science,
Scopus
Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 10 апреля 2019 г.
- Авторы: Vladimir Korotin, Maxim Dolgonosov, Victor Popov, Olesya Korotina, Inna Korolkova
- Журнал: Research in International Business and Finance
- Том: 48
- Год издания: 2019
- Издательство: JAI Press
- Местоположение издательства: United States
- Первая страница: 156
- Последняя страница: 158
- DOI: 10.1016/j.ribaf.2018.12.012
- Аннотация: 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. Additionally, the impact of panic in the foreign exchange market on the exchange rate has been estimated, and it is also shown that the foreign exchange market has a long memory.
- Добавил в систему: Попов Виктор Юрьевич