Transformations  in
Business & Economics

THE ANALYSIS OF OIL PRICE AND RUBLE EXCHANGE RATE
Yuriy Bilan, Stanislaw Gedek, Grzegorz Mentel

ABSTRACT. The exploitation and export of crude oil is the foundation of the economy of Russia. Such a dependence is the reason for the emergence of a set of destructive economic phenomena known as "Dutch Disease". The most destructive effect of the Dutch Disease is the dependence between the exchange rate level and the crude oil price. The aim of the article is to describe the impact of oil price on the Rubel - US dollar exchange rate. The analysis was based of time series data of Brent oil prices in USD per barrel and USD/RUB exchange rate. The data frequency was weekly, covering the period from July 2015 to December 2017. The time series length was 651 observations. The period subjected to the analysis was divided into three sub-periods: 01.07.2005 - 30.06.2008, 01.02.2009 - 30.06.2014 and 01.01.2015 - 15.12. 2017. The analysis used econometric model (VAR) built in accordance with the Enle-Granger methodology. The analysis has shown that the USD/RUB exchange rate was affected by the changes in oil price in all the sub-periods defined above. The analysis has shown that the influence of oil price on the USD/RUB exchange rate was stronger after the 2008 world financial crisis. This confirms the hypothesis that the Russian Economy shows symptoms of the Dutch Disease .

KEYWORDS:  Russian economy, crude oil, VAR model, exchange rates.

JEL classification:  C58; F31; G15.