Modeling of Exchange Rates

Abstract This work is devoted to study of the influence of international financial markets such as: Russia, America, Japan, prices of gold and oil Brent on the exchange rate of the ruble. This paper analyses the interval from February 2011 to May 2017. Using tests for structural breaks, and the corresponding division on periods, the impact of the crisis 2014-2016 on the studied relationships has been examined. The methodology of this study consists of the testing of stationarity, the construction of the vector autoregressive model taking into account the asynchrony of trading, as well as the building of the impulse response functions on each of the periods. The results showed that the oil is significant determinant at all periods, especially its influence strengthens during the crisis. There is also a dependence of the ruble on the world stock market and gold prices as in the pre-crisis and post-crisis periods. During the crisis, the Russian financial market has lost its influence, but the ruble continued to depend on the global financial market. Moreover, the prices of gold also lost its influence, while were influential in other periods.