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Under pressure: Dynamic pass-through of oil prices to the RUB/USD exchange rate

Svetlana Fedoseeva

International Economics, 2018, issue 156, 117-126

Abstract: This paper investigates the relationship between the RUB/USD exchange rate and oil prices. I apply a combination of time-varying cointegration techniques to the data of 1999–2017 to show how this relation evolved dynamically. When the Ruble was not decoupled from oil prices by the efforts of the Central Bank, the pass-through continuously grew over time, both in the long and the short run, substantially increasing during the oil price collapse of 2014. The results further indicate that the Ruble might still be overvalued, implying possible further depreciations, should oil prices remain low.

Keywords: Oil price; Ruble; Pass-through; Breakpoint analysis; Bounds testing; Time-varying cointegration (search for similar items in EconPapers)
JEL-codes: C22 F31 Q31 (search for similar items in EconPapers)
Date: 2018
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