Title: Extreme returns and structural breaks in the Russian financial market
Authors: Andrei Ankudinov - Innopolis University (Russia)
Oleg Lebedev - Innopolis University (Russia) [presenting]
Abstract: Structural breaks in the relationship between Russian financial indicators (the RTSI stock index, the rouble exchange rate and the Mosprime money market daily rate) and oil prices over the period of 2012-2015 are evaluated. To estimate the break dates, we employ a dynamic programming approach based on global minimizers of the sums of squared residuals and generalized fluctuation tests with moving estimates. The obtained results show that the 2014 sharp decline in stock prices and the rouble exchange rate and rise in interest rates cannot be explained by the fall of oil prices only. The peak of decoupling between the financial indicators and oil prices coincides with the period of the harshest anti-Russian sanctions.