Oil dependency of the Russian economy: An econometric analysis

Abstract

Abstract:A macro econometric model of the Russian economy is developed, containing 13 estimated equations -covering major national account variables, government expenditures and revenues, interest rates, prices and the labour market. The model is tailored to analyze effects of changes in the oil price and economic policy variables. The model has good statistical properties and tracks history well over the estimation period, which runs from 1995Q1 to 2008Q1. Model simulations indicate that the Russian economy is vulnerable to large fluctuations in the oil price, but we also find evidence of significant economic growth capabilities in the absence of oil price growth.

The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters

“…It is noteworthy that other studies have also used such a parsimony specification for examining the exchange rate in oil-exporting developing economies; for example, Hasanov (2010) for Azerbaijan, Korhonen and Juurikkala (2009) for 14 oil exporters including Russia; Egert (2009) for the former Soviet Union countries, including Russia, Kazakhstan and Azerbaijan; Kaplan and Aktash (2016) for five countries, including Russia; even Benedictow et al (2010), Ito (2010) for Russia, Jahan-Parvar and Mohammadi (2008) for 14 oil exporters, including Russia, Nikbakht (2010) for seven OPEC members, Ahmad and Hernandez (2013) for 12 oil producers and consumers have used only oil price to explain the exchange rate in their empirical analysis.…”

“…(2016) for five countries, including Russia; even Benedictow et al (2010), Ito (2010) for Russia, Jahan-Parvar and Mohammadi (2008) for 14 oil exporters, including Russia, Nikbakht (2010) for seven OPEC members, Ahmad and Hernandez (2013) for 12 oil producers and consumers have used only oil price to explain the exchange rate in their empirical analysis.…”

“…The main research focus of Benedictow et al (2010) was constructing a macroeconometric model for the Russian economy, rather than exploring the response of the exchange rate to oil price change in much detail. Moreover, the study has not taken into account the small sample bias issue.…”

Analysis of the relationship between oil price and macroeconomy with continuous wavelet transforms

“…Bár Mendoza és Vera nem foglalkoztak eredményeik gazdaságpolitikai következményeivel, azokból egyér-telműen a diverzifikáció fontossága olvasható ki. Ami az európai kitermelőket illeti, Benedictow-Fjaertoft-Løfsnaes [2013] egy többegyenletes makroökonometriai modellkeretben vizsgálták az orosz gazdaság olajáraknak való kitettségét, és azt találták, hogy bár az olajszektor nélkül is rendelkezik jelentős növekedési potenciállal, az erőfeszítések ellenére a makrogazdasági teljesítmény érzékenyen reagál a fosszilis tüzelőanyag árának elmozdulásaira. E három példa nem számít kirívónak, több más termelő esetén is ki lehet mutatni, hogy a gazdaság olajszektoron és annak beszállító ágazatain kívüli része nemzetközi összehasonlításban jelentős versenyhátrányba került.…”

Stock Return Response to Monetary and Fiscal Policy Interaction in Singapore

“…In fourth equation, Impact of fiscal policy is measured through government expenditures as it is used by previous research because there is no consensus that which one of measures (i.e., borrowing, taxation and expenditures) is appropriate to examine the impact of fiscal policy shocks (see, Afonso and Sousa, 2011). In this equation, impact of world oil prices is included using restriction as the rise in oil prices negatively influences the government expenditures and government face difficult to maintain its expansionary fiscal policy and budget deficit is increased due to higher government expenditures (Benedictow et al, 2013;Cologni & Manera, 2013). In fifth equation, interest rate channel of monetary policy is used.…”