经济制裁和新冠肺炎疫情对俄罗斯外汇市场效率的影响

Journal of Management and Business Administration-Central Europe Pub Date : 2022-10-19 DOI:10.33983/2075-1826-2022-3-125-132

V. Ponkratov, A. Karaev

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引用次数: 0

摘要

本文使用由美元(USD)对俄罗斯卢布(RUB) (USD/RUB)汇率的每日价值组成的时间序列的多重分形无趋势波动分析(MF-DFA)来分析俄罗斯货币市场的有效性，在此期间(2013年1月1日至2022年4月1日)发生了导致俄罗斯外汇市场发生严重变化的事件。计算表明，由美元/卢布汇率日值组成的时间序列在引入财政规则和冠状病毒大流行后效率最低，在引入自由浮动汇率制度后相对效率最高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The impact of economic sanctions and the Covis-19 pandemic on the efficiency of the Russian foreign exchange market

The article analyzes the effectiveness of the Russian currency market using the multi-fractal analysis of fluctuations without a trend (MF-DFA) of a time series composed of daily values of the US dollar (USD) to Russian ruble (RUB) (USD/RUB) exchange rate for the period time (01/01/2013 — 04/01/2022), during which events occurred that led to serious changes in the Russian foreign exchange market. Calculations showed that the time series made up of the daily values of the USD/RUB exchange rate showed the least efficiency after the introduction of the fiscal rule and the coronavirus pandemic, and the highest comparative efficiency after the introduction of the freely floating exchange rate regime.

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Journal of Management and Business Administration-Central Europe MANAGEMENT-

自引率

0.00%

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审稿时长

24 weeks