АНАЛИЗ ВЛИЯНИЯ НОВОСТЕЙ О САНКЦИЯХ НА ФИНАНСОВЫЕ РЫНКИ РОССИИ

Abstract

The study presents a hypothesis that real-time news about the planned introduction of sanctions, adversely affects financial markets comparable to de facto imposed sanctions. The research focuses on quantitative evaluation of the relationship between news about sanction plans, their actual implementation, and the subsequent reaction of the currency, stock, and credit markets in Russia. The hypothesis that sanctions news has a negative impact, regardless of sentiment analysis, is confirmed. These news items act as a driving force for market changes, irrespective of the imposition of sanctions. Based on the calculations, the author reaches the following conclusions: 1) Western sanctions are no longer targeted and selective but aimed at maximum restriction of economic ties. 2) The non imposed sanctions of the study demonstrate that news about sanction plans alone has a negative impact and acts as a market-driving force independent of their implementation. The study utilises the Sanctions News Index (SNI), developed to assess the impact of news about sanctions on the Russian financial markets. The Granger method confirms the causal relationship between sanctions news and financial markets as measured by the SNI index. The significance of the sanctions factor, as measured by the SNI index, and its influence on the exchange rate of the Russian ruble is confirmed by constructing a regression model with this indicator as one of the independent variables. A proposed methodology has successfully identified the most impactful sanctions and evaluated their effects on financial markets. This was accomplished by performing quantitative content analysis on the SNI index. This work can be valuable for assessing the impact of sanctions on investment decision-making, and risk management, and understanding the overall mechanism, i.e., how news about potential or actual sanctions affect the economies of entire countries or regions.