Dynamic conditional correlation and causality relationship among foreign exchange, stock and commodity markets: Evidence from 2014 Russian financial crisis

Mirzosaid Sultonov

Economics Bulletin, 2016, vol. 36, issue 2, 949-962

Abstract: The political events of the beginning of 2014 led to a series of economic sanctions against and by Russia. The combination of sanctions and declining oil prices devaluating the Russian national currency (the rouble) had a significant negative affect on the Russian economy. The crisis in Russia is partly transmitted to the countries dependent on remittances from and trade with Russia. This paper highlights the dynamic conditional correlation and causality relationship among the foreign exchange, stock and commodity markets before and during the ongoing Russian financial crisis. The derived results promote a better understanding of the relationship between these markets and have important implications for policy makers and investors in Russia and the countries affected by Russian crisis.

Keywords: Stock market; Financial market; Commodity market; Russian financial crisis (search for similar items in EconPapers)
JEL-codes: F3 G0 (search for similar items in EconPapers)
Date: 2016-06-11
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