The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis

Jamal Bouoiyour (), Refk Selmi, Aviral Tiwari and Muhammad Shahbaz

Energy Economics, 2015, vol. 51, issue C, 54-66

Abstract: Instead of analyzing the causality between two time series (unconditional analysis), as it is usually done, the present study deals with the nexus between oil price and Russia's real exchange rate conditioning upon potential control variables at well-specified horizons and on a frequency by frequency basis. This research accounts also for the possible transient linkages and signal discontinuities. A major finding of this paper is deeply suggestive of a sharp causality running from oil price to real exchange rate in lower frequencies. This implies that Russia should better tackle with turbulence triggered by oil price and continue to reduce its energy dependency via drastic and proactive measures. The economic and fiscal initiatives of Putin administration may help to cope with sudden shocks, to lessen the great oil dependence and to build confidence needed for economic recovery. While our research does not say much about the routes through which oil price may affect differently real exchange rate, it clearly indicates the presence of short-term relationship conditional to GDP, government expenditures, terms of trade and productivity differential. The conditional analysis and signal detection appear as meaningful exercises to find new insights into the focal issue.

Keywords: Oil price; Real effective exchange rate; Unconditional analysis; Conditional analysis; Russia (search for similar items in EconPapers)
JEL-codes: C18 F31 Q43 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

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Related works:
Working Paper: The Nexus between Oil price and Russia’s Real Exchange rate: Better Paths via Unconditional vs Conditional Analysis (2015)
Working Paper: The Nexus between Oil price and Russia’s Real Exchange rate: Better Paths via Unconditional vs Conditional Analysis (2014)
Working Paper: The Nexus between Oil price and Russia’s Real Exchange rate: Better Paths via Unconditional vs Conditional Analysis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:51:y:2015:i:c:p:54-66

DOI: 10.1016/j.eneco.2015.06.001

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