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Long-Run Relations Between International Oil Prices and Economies of Energy Exporter Countries

Student: Kaftailov Nikita

Supervisor: Pavel Konstantinovich Katyshev

Faculty: Faculty of Economic Sciences

Educational Programme: Applied Economics (Master)

Year of Graduation: 2016

Master's thesis contains 63 pages, 7 figures, 83 tables, 30 sources. Keywords: long-term relationship, asymmetric cointegration, calculation model, fractional integration, macroeconomic indicators, macroeconomics, the price of crude oil, the standard of living. The object of study - the macroeconomic indicators and the price of crude oil. Subject of research - the long-term relationship of the macroeconomic indicators and the price of crude oil. The purpose of work - to identify the presence of the cointegration between the major macroeconomic indicators and the prices of oil using fractional integration model ARFIMA and asymmetric cointegration approach. In the course of this work carried out attempt to use the fractional integration in order to find a long-term relationship model, as well as the application of the asymmetric cointegration approach to identify the relationship between the main macroeconomic indicators, such as unemployment, the index of the real exchange rate, index of real wages, M2 money supply, inflation rates and crude oil prices. The study was conducted according to two countries: Norway and Russia. As a result of calculations obtained cointegration relations for the series under consideration. A comparative analysis of the dependencies. The analysis concluded the degree of dependence of economic indicators on oil prices for the two countries.

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