• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Robert Davtyan
Influence of World Oil Prices and Exchange Rate on RTS Index
Economics
(Bachelor’s programme)
10
2017
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 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 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.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses