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Educational Programme
Final Grade
Year of Graduation
Evgeniia Volkova
Oil Shocks' Effect On Key Macroeconomic Variables: SVAR Identification With Heteroscedasticity
(Bachelor’s programme)
Oil is one of the most significant sources of energy in modern world, and plays a

crucial role in various economic activities and production. Changes in oil market

structure can dramatically affect a country’s economy. There has been a considerable

amount of studies devoted to this influence and it’s causes and consequence since

1970’s. Many of these studies have explored the relationship between oil price and

such macroeconomic variables as output, inflation, exchange rate etc. with structural

vector autoregressive (SVAR) analysis. One of the main problems of such analysis is

identifying the shocks of interest. There is a number of solutions of this problem, but

all of them has some disadvantages, which may be severe in some cases. This study

presents an SVAR model for determining the impact of oil shocks on economy using

identification through heteroscedasticity for one of the largest oil exporters, Russia.

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