Nexus of Ruble Exchange Rate and Other Macroeconomic Factors in the Period of Recent Economic Instability



Year of publication 2015
Type Article in Proceedings
Conference European Financial Systems 2015. Proceedings of the 12th International Scientific Conference
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords ruble exchange rate; oil price; VAR; Granger causality; correlation
Description Primary cause of recent Russian economic downturn was the decline in global oil prices, which led to currency crisis in Russia. But more factors need to be taken into consideration, specifically commodity prices, Russian interest rates, development of Russian stock market and development of the USD exchange rate. Existence of direct relationship between these individual factors and ruble exchange rate is likely. However, it is not sufficient to investigate only correlational relationships between these variables – causal relationships need to be identified as well. Correlation between variables may be obvious from data, tables or plots, but causalities between variables are not clear at first sight. Determination of these causalities was the aim of this paper. This task was fulfilled by usage of VAR approach, which is considered to be standard econometric tool to determine Granger causality in case of stationary time series. Two-way causality has been proven in case of changes in ruble exchange rate and changes in oil price, interest rate and gas price. Causality between changes in ruble exchange rate and changes in Russian stock index, EUR/USD exchange rate and price of gold has not been proven on the other hand.
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