The Russian ruble crisis of December 2014

A. Obizhaeva ()

Voprosy Ekonomiki, 2016, issue 5

Abstract: The paper presents a microstructure analysis of the crash of the Russian ruble in mid-December 2014. The author shows that the market break probably happened due to the execution of a large order that converted Russian rubles into U.S. dollars over a short period of a few days. Expirations of futures and options as well as possible front-running could have exacerbated the collapse of the Russian currency. The paper discusses measures taken by the Moscow Exchange and Bank of Russia during the episode and makes several recommendations to prevent a repetition of the similar events and provide an effective response in the face of future market breaks.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.vopreco.ru/jour/article/viewFile/198/198 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nos:voprec:y:2016:id:198

DOI: 10.32609/0042-8736-2016-5-66-86

Access Statistics for this article

More articles in Voprosy Ekonomiki from NP Voprosy Ekonomiki
Bibliographic data for series maintained by NEICON ().