Geoeconomic Fragmentation and Market Decoupling: A Time–Frequency Anatomy of Oil–Ruble Volatility Spillovers (2020–2025)

The interaction between crude oil prices and exchange rates is central to understanding global financial stability and macro-economic balances. Contrary to traditional static analyses, the heterogeneous market hypothesis argues that market participants have different time horizons and that multi-scale analysis is necessary to capture dynamic changes in crisis periods. This study examines volatility spillovers between WTI crude oil and the Russian ruble using wavelet coherence, phase difference, and predictive information flow analysis in a time–frequency framework. The analysis separates short-term [2–32 days] transient shocks from long-term [32–256 days] structural changes. Findings show that a negative spillover, initially led by WTI, with evidence of dynamic, frequency-dependent leadership shifts during the 2020 shock, was interpreted as a result of the overnight price gap and a failure of microstructural synchronisation. With the outbreak of the 2022 Russia–Ukraine war, the relationship shifted to a strong, positive, and high-intensity risk transfer, consistent with contagion theory. Crucially, by 2024, a structural decoupling emerged due to geoeconomic fragmentation, signalling that the ruble no longer exhibits traditional petro-currency behaviour. These results offer critical signals for policymakers regarding reserve management and for market participants regarding new liquidity risks.