The Russian ruble crisis of December 2014-Reference-Cited by-同舟云学术

The Russian ruble crisis of December 2014

Published:2016-05-20 Issue:5 Volume: Page:66-86
ISSN:0042-8736
Container-title:Voprosy Ekonomiki
language:
Short-container-title:Vopr. èkon.

Author:

Obizhaeva A.¹

Affiliation:

1. New Economic School

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.

Publisher

NP Voprosy Ekonomiki

Subject

Economics and Econometrics,Finance

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