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Article

Факторы, оказывающие влияние на индекс РТС во время финансового кризиса 2008–2009 гг. и до него

Самойлов Д. В.

This article deals with the influence of different factors on the RTSI in the period from March 2007 to August 2009. The period is further subdivided into three subperiods − pre-crisis, high oil prices and time of crisis ones. The stationarity testing, the Granger causality analysis, the analysis of cointegration, the impulse response functions and the variance decomposition let us get the information on the degree of oil price impact, the S&P-500 and FTSE-100 stock indices one and the «investors' fear gauge» index VIX influence on the RTSI. The time series cointegration analysis demonstrates the presence of the cointegration relations. The results of the research can be applied in making scenario forecasts based on the middle-run and long-run oil prices.