ДЕНЕЖНО-ФИНАНСОВЫЕ УСЛОВИЯ И КУРС РУБЛЯ ПОСЛЕ 2022 ГОДА: АСИММЕТРИЯ ВАЛЮТНОГО КАНАЛА НА ЕЖЕДНЕВНЫХ ДАННЫХ

Abstract:
Since 2022, the Russian foreign exchange market has been operating in a different environment. The ruble exchange rate has become more strongly affected by sanctions-related restrictions, the restructuring of foreign trade settlements, government operations with foreign currency and gold, and changes in the infrastructure of exchange trading. As a result, an increase in the policy rate or in the yield on ruble-denominated assets can no longer be automatically interpreted as a factor supporting ruble appreciation. The article assesses the response of the ruble exchange rate to monetary and financial conditions after March 2022. The research hypothesis is that after 2022 the daily response of the ruble became asymmetric and dependent on the market regime. The scientific novelty is related to clarifying the first stage of the exchange-rate channel using daily data, where RUONIA and OFZ yields are considered as indicators that combine the interest-rate signal, liquidity, expectations, and the risk premium. The results show that the ruble exchange-rate response index depends on money market conditions, OFZ yield dynamics, fiscal and foreign exchange operations, oil market conditions, the external dollar factor, global risk, and infrastructural changes in the foreign exchange market. The linear model explains only a small part of ruble fluctuations. At the same time, splitting changes in RUONIA and the OFZ yield into periods of increase and decrease provides a much more informative result. This approach better captures the fact that interest rate indicators may reflect different market conditions in different periods. In several specifications, an increase in RUONIA is associated with ruble depreciation, which reflects tension in the money market. The OFZ yield simultaneously reflects both the interest-rate incentive and the risk premium; therefore, a decline in this yield may be accompanied by ruble appreciation as a sign of stabilizing expectations. The results clarify the mechanism of the first stage of the exchange-rate channel after 2022 and show that the ruble’s response depends on the risk regime, liquidity conditions, fiscal and foreign exchange operations, and market infrastructure