EconStor >
Economists Association of La Coruña >
Economic Analysis Working Papers: EAWP, Economists Association of La Coruña >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/43420
  
Title:The impact of oil price volatility on macroeconomic activity in Russia PDF Logo
Authors:Ito, Katsuya
Issue Date:2010
Series/Report no.:Economic analysis working papers 2010,5
Abstract:Since the beginning of the 1980s a large number of studies using a vector autoregressive (VAR) model have been made on the macroeconomic effects of oil price changes. However, surprisingly few studies have so far focused on Russia, the world's second largest oil exporter. The purpose of this paper is to empirically examine the impact of oil prices on the macroeconomic variables in Russia using the VAR model. The time span covered by the series is from 1994:Q1 to 2009:Q3, giving 63 observations. The analysis leads to the finding that a 1% increase (decrease) in oil prices contributes to the depreciation (appreciation) of the exchange rate by 0.17% in the long run, whereas it leads to a 0.46% GDP growth (decline). Likewise, we find that in the short run (8 quarters) rising oil prices cause not only the GDP growth and the exchange rate depreciation, but also a marginal increase in inflation rate.
Subjects:co-integration test
impulse response functions
oil prices
Russia
JEL:Q4
Document Type:Working Paper
Appears in Collections:Economic Analysis Working Papers: EAWP, Economists Association of La Coruña

Files in This Item:
File Description SizeFormat
639574653.pdf185.4 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/43420

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.