Year of Graduation
Exchange Rate and Oil Price in Export-Oriented Economies under Intermediate Exchange Rate Regime
In this paper various aspects of the relationship between the dynamics of oil prices and the dynamics of the exchange rate of the Russian ruble against the U.S. dollar are considered based on the policy of the Central Bank of Russian Federation in the exchange market. Russia is a country with an intermediate exchange rate regime and a high share of oil products in exports and GDP, so the dynamics of oil prices strongly affect its economy in general and the foreign exchange market in particular. As an indicator, which allows to take into changes in exchange rates and the impact of the Bank of Russia on the currency market interventions, Exchange market pressure index was used in this paper.VAR and ADL models were tested for the period from 1999 to 2013 inclusive for two different time scales: weekly and monthly data. The main research question of this work - is it possible to forecast Exchange market pressure index in Russia, based on the oil prices dynamics? This main question also include a number of particular issues, such as the influence of the time scale of the data on predictive ability, and the influence of asymmetric effects and structural changes in the economy that occurred during the period and affect the results of forecasting, etc. The evaluation of these models predicted values calculated Index pressure on the foreign exchange market, and evaluates the quality of these forecasts. By the evaluation of the models and analysis of its forecasts, it was found that predictive models work better on a time scale data with a time step 1 month than in 1 week. In particular, this conclusion applies to the ability of the dynamics of oil prices to predict the Exchange market pressure index. This conclusion is completely different from the results obtained in the paper of D. Ferraro, K. Rogoff, B. Rossi (2012) for Canada and some other countries.In addition, according to the results of testing models on monthly data the following were found: a negative correlation between changes in oil prices (past and present periods of time) and Exchange market pressure index; the presence of asymmetric effects of exposure to pressure directivity index oil price changes; the link between the volatility of oil prices and the pressure index; no effect (predictive power) of the dynamics of spreads between the interest rates of the Bank of Russia and the U.S. Federal Reserve on the pressure index; presence of a negative relationship between the dynamics of interest rate spreads Bank of Russia and the U.S. Federal Reserve and the dynamics of changes in the price of oil (i.e., oil prices have predictive ability in relation to the dynamics of the spread rates of the Bank of Russia and the U.S. Federal Reserve). In addition, it was revealed that the structural change that has occurred over the period (2008), which was additionally taken into account when constructing models and forecasts.