The Effect of Economic Factors on RTS Index Dynamics under Structural Breaks

There is an analysis of the influence of various factors on the value of the RTS index with structural breaks from September 2001 to January 2019. The test for the presence and number of structural breaks found 4 statistically significant breaks: 05/28/2004, 04/04/2008, 12/12/2011, and 12/31/2015. Testing for stationarity using tests with opposite hypotheses of ADF and KPSS showed that most of the variables had a single root at the significance level of 0.05. Johansen's test for cointegration showed the presence of long-term relations in each period. Five VECM models were initially evaluated, the lag interval was subsequently optimized using the Akaike and Schwarz criteria, and LM test. Insignificant for long-term and short-term relation variables were removed from models. Among the significant long-term variables, we can distinguish (indicating the direction of influence) Brent (+) oil price, the exchange rate of the US dollar to ruble (-), S&P500 (+), FTSE100 (+), and the Russian volatility index RVI (-). On the other hand, among the short-term influencing variables are the following factors: the price of oil in the last period (+), the USD / RUB rate (-), S & P500 (+), FTSE100 (+), the price of gold (+), the average banking loan rate (+), and RVI (-).