Давтян Роберт Суренович
Influence of World Oil Prices and Exchange Rate on RTS Index
The dependence of RTS from world oil price and US dollar exchange rate is of a very high interest nowadays. There is a lot of research about this topic. The correlation between RTS and oil price as well as the correlation between RTS and US dollar exchange rate is very useful for portfolio managers in diversifying their portfolios. In this thesis, I will first make a VECM model to find the long run equilibrium among the RTS, Brent oil price, and US dollar exchange rate. Then, using DCC-GARCH model I will determine the conditional correlations among those assets. The period under study is 2014m01 – 2017m04. Results show that US dollar exchange rate and Brent oil price are important in the establishment of long-run equilibrium among the variables under study for the whole period. However, when the period is divided into two subsamples, US dollar exchange rate and SP500 become important for the first subsample (January 1, 2014 – May 29, 2015), yet long run equilibrium itself disappears for the second subsample (May 30, 2015 – April 10, 2017). Dynamic correlation estimation results show that conditional correlations are very volatile, and there are periods of high and low correlations, which may be related to the political and economic activity. Overall, starting from 2016, RTS correlation with other variables shows a downward trend in absolute value and closes to 0, which is very useful for asset management.
Текст работы (работа добавлена 10 мая 2017г.)