Russia’s international comportment and geostrategic moves, particularly the invasion of Ukraine and the annexation of Crimea in 2014, caused a substantial change in its international economic and political relations. In response to Russia’s invasion, the United States of America, the European Union, and their allies imposed a series of sanctions. In this study, by applying an exponential generalized autoregressive conditional heteroscedasticity model to daily logarithmic returns of the ruble exchange rate and the closing price index of the Russian Trading System, we analyze how the returns and volatility of the exchange rate and the stock price index responded to the sanctions and oil price changes. The estimation results show that the sanctions have a significant positive short-term impact on exchange rate returns. Economic sanctions have a significant negative long-term impact on the returns and variance of the exchange rate and a significant positive long-term impact on the returns of the stock price index. Financial sanctions have a positive/negative long-term impact on the returns of the exchange rate/stock price index and a positive long-term impact on the variance of the exchange rate and the stock price index. Corporate sanctions have a positive long-term impact on exchange rate returns.

中文翻译：

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国际制裁对俄罗斯金融市场的影响

俄罗斯的国际报道和地缘战略行动，尤其是2014年入侵乌克兰和克里米亚被吞并，导致其国际经济和政治关系发生了重大变化。为响应俄罗斯的入侵，美利坚合众国，欧洲联盟及其盟国实施了一系列制裁。在这项研究中，通过将指数广义自回归条件异方差模型应用于卢布汇率的每日对数收益率和俄罗斯交易系统的收盘价格指数，我们分析了汇率和股票价格指数的收益率和波幅如何响应制裁和石油价格变化。估计结果表明，制裁对汇率收益具有重大的短期积极影响。经济制裁对汇率的收益和汇率变动具有重大的长期负面影响，对股价指数的收益也具有重大的长期长期影响。金融制裁对汇率/股票价格指数的收益具有正/负的长期影响，对汇率和股票价格指数的变化具有正的长期影响。公司制裁对汇率回报产生长期的积极影响。金融制裁对汇率/股票价格指数的收益具有正/负的长期影响，对汇率和股票价格指数的变化具有正的长期影响。公司制裁对汇率回报产生长期的积极影响。金融制裁对汇率/股票价格指数的收益具有正/负的长期影响，对汇率和股票价格指数的变化具有正的长期影响。公司制裁对汇率回报产生长期的积极影响。