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

Suzana Balaban; Vladimir Pavićević; Milica Simić

doi:10.59864/Oditor12402B

Autori

Suzana Balaban Alfa BK University, Palmira Toljatija 3, Belgrade, Serbia Author
Vladimir Pavićević Alfa BK Univerzitet, Fakultet za finansije, bankarstvo i reviziju, Palmira Toljatija 3, Beograd, Srbija Author
Milica Simić Alfa BK Univerzitet, Palmira Toljatija 3, Beograd Author

DOI:

https://doi.org/10.59864/Oditor12402B

Ključne reči:

rublja, sirova nafta, komparativna analiza, GARCH, korelacija

Apstrakt

Predmet istraživanja ovog rada je uticaj krize u Ukrajini na volatilnost rublje i nafte, kao i korelacija ovih vrednosti međusobno. Kako bi istražili uticaj krize u Ukrajini, kao eksternog šoka na volatilnost rublje i sirove nafte analizirane su promene odnosa njihovih vrednosti na dnevnom nivou, u posmatranom periodu tokom 2022. godine i prva četiri meseca 2023. godine. Analizom vremenskih serija, a potom i komparativnom analizom navednih podataka i korišćenjem GARCH modela utvrđena je određena divergentnost u samoj prirodi ponašanja i kretanja rublje i nafte neposredno pre početka i tokom trajanja krize u Ukrajini, u toku posmatranog perioda. Nema sumnje da su se tržišta ruske valute i sirove nafte u ovom periodu ponašala mnogo volatilnije, što implicira i značajno veći uticaj na ekonomske aktivnosti, imajući u vidu nestabilnost vrednosti rublje i nafte kao značajnih činilaca uticaja na ukupna ekonomska kretanja u svetu.

##plugins.themes.default.displayStats.downloads##

##plugins.themes.default.displayStats.noStats##

Reference

Anjum, H. 2019. Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks. Journal of Economics and Finance 43: 750;

Bagchi, B., Biswajit, P. 2023. Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries. Journal of Risk and Financial Management 16: 64;

Balaban, S. 2019. Impact of an unexplained component of real exchange rate volatility on FDI: Evidence from transition countries, Economic systems, 43(3-4): 100719. https://doi.org/10.1016/j.ecosys.2019.100719

Balaban, S., Đurašković, J. 2021. Agile project management as an answer to changing environment, European Project Management Journal, 11(1): 12-19. https://doi.org/10.18485/epmj.2021.11.1.2

Evans, H. R. 1996. An Analysis of Criterion Variable Reliability in Conjoint Analysis, SAGE Journals, 82, (3)

Gomez-Gonzales, J. Hirs-Garzon, J. Uribe, J. 2020. Giving and Receiving: Exploring the predictive causality between oil prices and exchange rates. International Finance 23: 175-194;

Haug, A. Abul Basher, S. 2019. Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach. Applied Economics 51, (48): 5282-5296;

Hinkle, D. E., Wiersma, W. Jurs, S. G. 2003. Applied Statistics for the Behavioral Sciences. Boston, MA: Houghton Mifflin Company

https://exchangerates.org.uk/

Karlsson, H. Mansson, K. Sjolander, P. 2020. Unveiling the Time-dependent Dynamics between Oil Prices and Exchange Rates: A Wavelet-based Panel Analysis. The Energy Journal 41, (6): 87-106;

Ji, Q. Shahzad, S. Bouri, E. Suleman, M. 2020. Dynamic structural impact of oil shocks on exchange rates: lessons to learn. Economic structures 9:20;

Obradović, B. Aureo, B. Miljković, M. 2018. VaR analiza u cilju identifikovanja finansijskih rizika. Oditor 4, (3): 41-61

Onour, I. Abdo, M. 2022. Sensitivity of crude oil price change to major global factors and to Russian-Ukraine war crisis. http://dx.doi.org/10.2139/ssrn.4187797);

Pavićević, V. 2022. Uticaj ukrajinske krize na vrijednosti valutnih parova EUR/USD, CNY/USD, RUB/USD i bitkoina. Glasnik za društvene nauke 14: 205-226;

Polbin, A. Skrobotov, A. Zubarev, A. 2020. How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia. Emerging Markets Finance & Trade 56: 3732-3745;

Salisu, A. Cunado, J. Isah, K. Gupta, R. 2021. Oil Price and Exchange Rate Behaviour of the BRICS. Emerging Markets Finance and Trade 57 (7): 2042-2051;