Волатильность курса рубля: нефть и санкции

Прикладная эконометрика. 2018. № 52. С. 5–21.

Аганин А. Д., Peresetsky A.

Stability of the national currency exchange rate is an important factor for sustainable economic growth. A number of papers demonstrate that in the oil exporting countries currency exchange rate to the large extent is defined by the international oil prices. However, there are almost no papers which consider dependence of the exchange rate volatility on the volatility of oil prices. In this paper, we use one-dimensional GARCH models and two-dimensional VAR-BEKK models to analyze the dependence of the ruble exchange rate volatility on the oil price volatility. We found out that this dependence is not constant in time and depends on various macroeconomic factors. This dependence significantly increases when oil prices are low and weakens when oil prices are high. The introduction of sanctions has increased the volatility of the ruble exchange rate. Sanctions have also increased the dependence of the ruble exchange rate volatility on oil price volatility. It is also shown that the impact of sanctions decreases with time, what can be interpreted as an adaptation of the Russian economy to sanctions.

Keywords: Russia, sanctions, Волатильность цены на нефть, exchange rate volatility, антироссийские санкции, oil price volatility, AR-TGARCH, VAR-BEKK, волатильность валютного курса, AR-TGARCH, VAR-BEKK