Year of Graduation
Modeling the Effect of Oil Prices on the RTSI
Joint HSE-NES Undergraduate Program in Economics
In this paper I try to approach modeling the effect of oil prices on the RTSI index, as long as other Russian stock market indices, in a new way. I analyze data from April 2011 to March 2016, which covers both a stable period of high oil prices and a rapid downfall. Other factors included in the model are the well-established market indices from Western developed countries and volatility indices. After checking the data for stationarity, I build a vector auto-regression for the first period and another VAR for error correction in the second period. I also carry out the necessary tests to establish causality within the model. In the stable period there was no significant link between the oil prices and RTSI. In the downfall period, oil price drop explains the RTSI drop, however S&P500 remains the most important factor.