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Анализ взаимосвязи между оптовыми ценами на электроэнергию и ценами на топливо в России
The energy sector plays a pivotal role in the economic development of any country, especially the one as large and resourceful as the Russian Federation. This paper examines the impact of fuel prices on electricity prices in Russia. We conduct an in-depth review of the academic literature to assess how various factors affect energy prices internationally. We then perform a cointegration test and estimate a vector autoregression (VAR), on the basis of which we construct impulse response functions. The analysis uses monthly data from January 2002 to February 2024 for four categories of electricity prices: households, non-industrial users, industrial users, and transportation. Engle–Granger cointegration tests show that the electricity price to households is significantly linked to all fuel types, whereas the prices for non-industrial users, industrial users, and transportation cointegrate with natural gas and coal in at least one specification with a constant or with a constant and a linear trend. The study contributes to the literature by filling a gap: although some Russian studies exist, we are not aware of comparable work that jointly covers a long period up to 2024, four delivery/consumer segments, and a unified VAR identification of the fuel-to-electricity price pass-through — this defines the novelty of the paper. We find that electricity prices tend to rise 1–2 months after fuel-cost shocks, but this effect almost completely dissipates within the following 1–2 months. This suggests that Russian economy is more resilient to such shocks, but it may also point to lower competition in the Russian electricity market and warrants further investigation.