Transmission effects of oil prices, Ruble, and Euro in the outbreak of the Russian-Ukrainian war: evidence from the VAR-DCC-GARCH approach

Zhengyang Zhao; Lijie Yu; Zanyu Fang; Zheng Tao

doi:10.1117/12.2660004

3 February 2023 Transmission effects of oil prices, Ruble, and Euro in the outbreak of the Russian-Ukrainian war: evidence from the VAR-DCC-GARCH approach

Zhengyang Zhao, Lijie Yu, Zanyu Fang, Zheng Tao

Author Affiliations +

Proceedings Volume 12511, Third International Conference on Computer Vision and Data Mining (ICCVDM 2022); 125110R (2023) https://doi.org/10.1117/12.2660004
Event: Third International Conference on Computer Vision and Data Mining (ICCVDM 2022), 2022, Hulun Buir, China

Abstract

Using the VAR-DCC-GARCH model, the paper studies the dynamic correlation between Ruble closing price and WTI's oil price, and between Euro and WTI's oil price during the Russo-Ukrainian war. The results show that before the Russia Ukraine war, there was a strong correlation between the Ruble and WTI oil prices, and between the Euro and WTI oil prices. Their connection deteriorates sharply and became negative during the Russia Ukraine conflict. We speculate that European stock market investors will flee risky assets and turn to safe haven assets, and China may use Euros in oil trade settlement in the future.

Citation Download Citation

Zhengyang Zhao, Lijie Yu, Zanyu Fang, and Zheng Tao "Transmission effects of oil prices, Ruble, and Euro in the outbreak of the Russian-Ukrainian war: evidence from the VAR-DCC-GARCH approach", Proc. SPIE 12511, Third International Conference on Computer Vision and Data Mining (ICCVDM 2022), 125110R (3 February 2023); https://doi.org/10.1117/12.2660004

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