Subject The study deals with interrelations between the nominal exchange rate of Russian ruble, the key interest rate and the price of oil. Objectives The purpose is to verify the hypothesis about coordinated use of instruments of the Central Bank of the Russian Federation, namely the rate of exchange and the key interest rate in changing external environment. Methods We employ the statistical analysis tools, i.e. evaluation of linear relationship, verification of cointegration of time series of the rate of exchange and oil price. To check the accuracy of the constructed models, we used the Granger causality test, the Dickey–Fuller test (for availability of trend), the Durbin–Watson test statistic and the Jarque-Bera test (for analysis of residuals from a statistical regression), and the Johansen test (for cointegration). Results We confirmed the link between the exchange rate of Russian ruble and the oil price, revealed a short-term relation between them in cointegration models. The absence of long-term relation between the exchange rate of Russian ruble and the oil price in cointegration models is somewhat unexpected and contradicts the previous studies. It was reasonable to include the key interest rate in the multi-factor model of the exchange rate of Russian ruble along with the oil price in the form of dammy variables. This model allows identifying the periods of more active use of the key interest rate in the Bank of Russia policy. Conclusions The presented model enables to estimate quantitative relations between the instruments of the Bank of Russia.
Keywords: oil price, interest rate, time series, cointegration
Polterovich V.M., Popov V.V. [Exchange Rate, Inflation and Industrial Policy]. Zhurnal novoi ekonomicheskoi assotsiatsii = Journal of the New Economic Association, 2016, no. 1, pp. 192–198. URL: Link (In Russ.)
Volkonskii V.A., Kuzovkin A.I. [Price and financial problems of the fuel and energy complex]. Problemy prognozirovaniya = Problems of Forecasting, 2000, no. 1, pp. 77–94. URL: Link (In Russ.)
Polbin A.V., Drobyshevskii S.M. Postroenie dinamicheskoi stokhasticheskoi modeli obshchego ravnovesiya dlya rossiiskoi ekonomiki [Building a dynamic stochastic model of general equilibrium for the Russian economy]. Moscow, Gaidar Institute Publ., 2014, 156 p.
Kudrin A.L. [The influence of oil and gas exports on Russia's monetary policy]. Voprosy Ekonomiki, 2013, no. 3, pp. 4–19. (In Russ.)
Bozhechkova A.V., Trunin P.V. Analiz faktorov dinamiki real'nogo valyutnogo kursa rublya [Analysis of factors underlying the dynamics of real exchange rate of Russian ruble]. Moscow, Delo Publ., 2016, 96 p.
Lisitsa M.I. [Empirical research into the effect of oil prices on the cost relationship of the Russian Ruble and the U.S. Dollar]. Daidzhest-finansy = Digest Finance, 2016, no. 4, pp. 21–29. URL: Link (In Russ.)
Yudaeva K. [On opportunities, targets and mechanisms of monetary policy under the current conditions]. Voprosy Ekonomiki, 2014, no. 9, pp. 4–12. (In Russ.)
Kurganskii S.A. [Identification and analysis of the factors affecting the exchange rate of the Russian Ruble]. Upravlenets, 2016, no. 5, pp. 62–69. URL: Link (In Russ.)
Bazilevskii M.P., Gefa G.D. [Statistical Modeling of the Depending Dollar Against the Ruble on Oil Prices]. Ekonomika i biznes: teoriya i praktika = Economy and Business: Theory and Practice, 2015, no. 9, pp. 14–19. URL: Link (In Russ.)
Strelkova V.I., Faizullin R.V. [The model of relation between exchange rate of the U.S. dollar to the Russian ruble and oil price]. Problemy ekonomiki i upravleniya neftegazovym kompleksom = Problems of Economy and Management of Oil and Gas Complex, 2014, no. 3, pp. 41–47. (In Russ.)
Feklin V.G., Shevelev A.Yu. [The dependence of the ruble exchange rate against the dollar on the oil price and its relationship with the Federal budget parameters]. Sovremennaya matematika i kontseptsii innovatsionnogo matematicheskogo obrazovaniya = Modern Mathematics and Concepts of Innovative Mathematical Education, 2015, vol. 1, no. 1, pp. 88–92. (In Russ.)
Mensah L., Obi P., Bokpin G. Cointegration Test of Oil Price and U.S. Dollar Exchange Rates for Some Oil Dependent Economies. Research in International Business and Finance, 2017, vol. 42, pp. 304–311. URL: Link
Habib M.M., Kalamova M.M. Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries. ECB Working Paper Series, 2007, no. 839, 41 p. URL: Link
Alekhin B.I. [Oil and the Russian ruble: Two links of the same chain]. Finansovaya analitika: problemy i resheniya = Financial Analytics: Science and Experience, 2016, no. 16, pp. 2–19. URL: Link (In Russ.)
Moiseev S.R. [The monetary policy rules]. Finansy i kredit = Finance and Credit, 2008, no. 8, pp. 16–31. URL: Link (In Russ.)
Fedorova E.A., Lysenkova A.V. [Assessing the impact of the instruments of monetary policy on achieving objectives of the Central Bank of RF]. Voprosy Ekonomiki, 2013, no. 9, pp. 106–118. (In Russ.)
Rasskazov V.E. [Analyzing the factors influencing the ruble rate; the relationship between the Russian balance of trade and the oil price; forecasting the interbank weekly deposit rate]. Mezhdunarodnyi studencheskii nauchnyi vestnik, 2015, no. 4-1, pp. 178–181. (In Russ.) URL: Link
Blokhina T.K., Karpenko O.A., Guirinskiy A.V. The relationship between oil prices and exchange rate in Russia. International Journal of Energy Economics and Policy, 2016, vol. 6, iss. 4, pp. 721–726. URL: Link
Ershov M.V. [What economic policy does Russia need under sanctions?]. Voprosy Ekonomiki, 2014, no. 12, pp. 37–53. (In Russ.)