voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2016-5-66-86voprecotest-198Research ArticleДЕНЕЖНО-КРЕДИТНАЯ ПОЛИТИКАMONETARY POLICYКризис рубля в декабре 2014 годаThe Russian ruble crisis of December 2014ОбижаеваА. А.ObizhaevaA.

PhD, профессор Российской экономической школы (Москва)

aobizhaeva@nes.ruРоссийская экономическая школаРоссияNew Economic SchoolRussian Federation201620052016056686Copyright © Voprosy Ekonomiki, NP, 20162016Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/198

В статье представлен микроструктурный анализ валютного кризиса середины декабря 2014 г. Автор показывает, что основной причиной кризиса было исполнение на российском валютном рынке за короткое время большой заявки на продажу рублей. Торговля на опережение, а также экспирация опционов и фьючерсов могли дополнительно усугубить падение курса рубля. В статье обсуждаются действия Московской биржи и Банка России во время кризиса, а также предлагаются меры, которые помогут предотвратить подобные кризисы в будущем или своевременно и эффективно на них реагировать.

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.

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The authors declare that there are no conflicts of interest present.