INTERDEPENDENCE OF OIL PRICE VOLATILITY AND RUBLE EXCHANGE RATE DURING THE CRISIS IN UKRAINE

Suzana Balaban; Vladimir Pavićević; Milica Simić

doi:10.59864/Oditor12402B

Authors

Suzana Balaban Alfa BK University, Palmira Toljatija 3, Belgrade, Serbia Author
Vladimir Pavićević Alfa BK University, Faculty of Finance, Banking and Auditing, Palmira Toljatija 3, Belgrade, Serbia Author
Milica Simić Alfa BK University, Palmira Toljatija 3, Belgrade, Serbia Author

DOI:

https://doi.org/10.59864/Oditor12402B

Keywords:

ruble, crude oil, comparative analysis, GARCH, correlation

Abstract

The subject of research in this paper is the impact of the crisis in Ukraine on the volatility of the ruble and oil, as well as the correlation of these values with each other. In order to investigate the impact of the crisis in Ukraine as an external shock on the volatility of the ruble and crude oil, changes in the ratio of their values were analyzed on a daily basis, in the observed period during 2022 and the first four months of 2023. The analysis of time series, and then the comparative analysis of the mentioned data and the use of the GARCH model determined a certain divergence in the very nature of the behavior and movement of the ruble and oil immediately before the beginning and during the crisis in Ukraine, during the observed period. There is no doubt that the Russian currency and crude oil markets behaved much more volatile in this period, which implies a significantly greater impact on economic activities, bearing in mind the instability of the value of the ruble and oil as significant factors affecting the overall economic trends in the world.

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