2026/04/28 by Tsangyao Chang, Alexey Mikhaylov, Mei-Chih Wang · 1 voice
Economics, Econometrics and Finance · Environmental Science · #Market Dynamics and Volatility #COVID-19 Pandemic Impacts #Environmental and Biological Research in Conflict Zones
paper · doi:10.1080/13504851.2026.2661873
We apply wavelet quantile correlation (WQC) with maximal overlap discrete wavelet transform (MODWT) to daily Russian exchange rate, stock, and gas price returns over January 2020–December 2023. Six independent structural break tests recover a regime shift within 10 trading days of 24 February 2022 without prior event conditioning. Before sanctions, the exchange rate–stock correlations are negative at the upper quantiles (τ = 0.75–0.90) across 2–16-day wavelet scales, consistent with portfolio-balance dynamics; after February 2022, the sign reverses (Fisher z = 2.84, p = 0.004, Bonferroni-corrected) as the mandatory foreign-currency surrender severs the arbitrage channel. Opposing signs across regimes cancel under full-sample aggregation, resolving the exchange rate exposure puzzle as a measurement artefact. Gas price–stock co-movement at 8–32 days also reverses post-sanctions (Fisher z = 2.17, p = 0.030), as pipeline curtailment converts rising TTF prices from revenue signals into export volume loss signals. An independent wavelet quantile regression (WQR) confirms the time–frequency structure.