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

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  • Mirzosaid Sultonov

    (Tohoku University of Community Service and Science)

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.

Suggested Citation

  • Mirzosaid Sultonov, 2016. "Dynamic conditional correlation and causality relationship among foreign exchange, stock and commodity markets: Evidence from 2014 Russian financial crisis," Economics Bulletin, AccessEcon, vol. 36(2), pages 949-962.
    • Handle: RePEc:ebl:ecbull:eb-16-00265
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Stock market; Financial market; Commodity market; Russian financial crisis;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G0 - Financial Economics - - General

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