Macroeconomic and Distributional Impact of Sanctions News: Evidence from Russia
66 Pages Posted: 22 Aug 2022 Last revised: 31 Oct 2024
Date Written: August 24, 2022
Abstract
How much do global sanctions harm the targeted economy? We introduce a novel instrumental variable approach that identifies the sanctions news shock by utilizing high-frequency trading data on Russia’s international sovereign bonds around the US sanctions announcements. First, we find that Russia’s country spread rises by 1.8--3 pp during the fourth and third days before, not during, announcements (information leakage). Second, output, consumption, and investment contract by 2.5%, 3.0%, and 5%, respectively---much larger effects than previously thought. Third, the most adversely affected groups are the largest and the most productive firms and the richest households. Unproductive firms and poorer households are barely affected by sanctions.
Keywords: Sanctions news shock, OFAC sanctions announcements, High-frequency identification, Sovereign bonds, Country Spread, Consumption, Income
JEL Classification: F51, E20, E30, E44, C26
Suggested Citation: Suggested Citation
Mamonov, Mikhail and Pestova, Anna, Macroeconomic and Distributional Impact of Sanctions News: Evidence from Russia (August 24, 2022). Available at SSRN: https://ssrn.com/abstract=4190655 or http://dx.doi.org/10.2139/ssrn.4190655
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN