Устойчивость причинно-следственной связи между ценой на нефть и российским фондовым индексом

Вопросы статистики. 2025. Т. 32. № 4. С. 37–48.

Свиридов О. И.

The article is devoted to analyzing the stability of the causal relationship between changes in oil prices and the dynamics of the Russian
stock market, whose primary indicator is the RTS Index. The main goal of the research is to test the hypothesis of the persistence of a stable
influence of oil price shocks (driven by fluctuations in supply, demand, and supply expectations) on the RTS Index amid structural shifts in
the Russian economy during the period from 1999 to 2019.

The novelty of the approach proposed by the author lies in applying the core tool for studying causality – the Structural Vector Autoregres-
sion (SVAR) model – to decompose oil price shocks into their constituent sources based on the reasons for their occurrence and to assess the

RTS Index's response to them. Additionally, the Moving Block Bootstrap (MBB) method is used to test the significance of changes in the stock
index's impulse responses. The research results indicate that, despite the detection of a structural break in the stock market variable equation,
the differences in its impulse responses to oil price shocks before and after this break are statistically insignificant, which confirms the proposed
hypothesis. Thus, it can be argued that a stable causal relationship exists between oil prices and the Russian stock index throughout the entire
analyzed period, including global economic crises and domestic economic transformations in Russia.
The study contributes to understanding the long-term dynamics of the interconnections between the commodity and financial sectors of
the Russian economy, highlighting the critical importance of the energy component for the stability of the national stock market.

Keywords: фондовый рынок, индекс РТС, SVAR-модель, Moving Block Bootstrap, функции импульсных откликов, нефтяные цены, индекс РТС