Empirical studies prove low prices force NWF withdrawal; even if they win the direction of the link flips, short-term losses still trigger the impact.

Therefore, our empirical findings partially confirm the theoretical justification of the responses of Russian NWF to Oil Price Shocks. Besides, several empirical studies corroborate our empirical findings. The positive response is evident only at low quantiles or negative values of ODS and OSS, indicating that negative demand and supply oil shocks may transmit some positive effects on NWF through the channel of Russian ruble depreciation. These findings are in line with Koh (2017), who reveal that oil-exporting countries with a flexible exchange rate regimes can rectify the negative effects of oil price declines through currency depreciation. Consequently, oil-exporters benefit by gaining more ruble revenues, and the NWF account assets are revalued with a positive outcome. We also agree with Lin and Su (2020), who argue that positive oil supply shocks may bring risks of Russian currency appreciation. We assume that an extremely high oil price caused by reduced oil extraction or supply constraints induces losses of oil and gas revenues in oil-exporting countries along with currency appreciation in the shortrun. Thus, NWF experience a negative exchange rate difference. Besides, our results are partially consistent with Cashin et al. (2014) that a surge in oil price driven by supply-side spurs economic activity in countries involved in oil exports. However, we find this effect more pronounced in the longer run, when the economy has relatively adjusted to the extreme high oil prices, suggesting that selling oil by price exceeding the cut-off price contributes to the accumulation of a part of petroleum revenues on NWF accounts. One example is the recent establishment of oil trading channels between Russia and Asian countries, despite the EU embargo on Russian oil. Our baseline findings regarding the positive response of NWF to ODS are generally consistent with Holm (2014a, 2014b) for SWF of Norway; Jibril et al. (2020) for Saudi Arabia; Pauhofova ´ and Svocakov ´ a ´ (2016) for Kazakhstan and Russia. Since we investigate the response of FNB using quantile dependence, we find, however, that this effect is mainly observed at lower quantiles of the demand shock. Our findings that in case of an extremely low oil price (below the cut-off price) in the long-run, negative oil shocks force the withdrawal of money from the NWF to compensate for the budget deficit corroborate with Mohaddes and Raissi (2017) suggesting that high commodity volatility diminishes economic performance in resource-dependent countries, so money accumulated in the sovereign funds can be used for economic recovery. Holm (2014a, 2014b) as well as Pauhofova ´ and Svoc´ akova ´ (2016) also exhibit the long-lasting effect of oil market shocks to SWF of Norway and NWF, respectively. Thus, the Russian National Wealth Fund reacts almost similarly to negative oil market shocks, whether response caused by supply or demand components. Our empirical results related to the negative responsiveness of Russian NWF to oil risk shock are explained by financial market volatility. We confirm with Das and Kannadhasan (2020) and Malik and Hammoudeh (2007) that risk shocks relate negatively to emerging market sector indices and oil-exporting country stock markets. Thus, financial market turmoil directly affects the economy in general; consequently, the NWF’s funds are channelled into equity investments in domestic companies.