The paper explores the impact on volatility spillovers across various financial markets (stock, currency, commodity, energy markets). Both the sanctions and war led to increased market instability, with the ruble playing a central role in transmitting volatility to other sectors. The implementation of SWIFT sanctions against Russian banks amplified volatility, especially from the ruble to other markets, though this effect diminished after Russia’s response to the sanctions.
The analysis shows that volatility spillovers were initially most intense due to the uncertainty surrounding the war’s outcome. As the war continued, the shock was absorbed by the markets. Ruble was identified as a primary source of volatility spillovers and systematic risk spread increase, particularly affecting commodity and currency markets.
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