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Can Oil Prices Explain the Real Appreciation of the Russian Ruble in 1998-2005?

Author

Listed:
  • Kirill Sosunov

    (Higher School of Economics)

  • Oleg Zamulin

    (New Economic School)

Abstract

The paper investigates whether the 80% real appreciation of the Russian ruble in 1998-2005 can be explained by the increase in oil revenues in a calibrated general equilibrium model. It is shown that the oil prices alone cannot account for the appreciation with forward-looking permanent-income consumers, unless the oil price increase is assumed permanent. Accounting for the increase in the volume of oil exports, however, can help, provided that the increase is assumed to be permanent.

Suggested Citation

  • Kirill Sosunov & Oleg Zamulin, 2006. "Can Oil Prices Explain the Real Appreciation of the Russian Ruble in 1998-2005?," Working Papers w0083, Center for Economic and Financial Research (CEFIR).
    • Handle: RePEc:cfr:cefirw:w0083
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    References listed on IDEAS

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    2. Jeffrey D. Sachs & Andrew M. Warner, 1995. "Natural Resource Abundance and Economic Growth," NBER Working Papers 5398, National Bureau of Economic Research, Inc.
    3. Ilan Goldfajn & Rodrigo O. Valdés, 1999. "The Aftermath of Appreciations," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(1), pages 229-262.
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    8. repec:zbw:bofitp:2006_011 is not listed on IDEAS
    9. Kirill Sosunov & Oleg Zamulin, 2006. "The Inflationary Consequences of Real Exchange Rate Targeting via Accumulation of Reserves," Working Papers w0082, New Economic School (NES).
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Fakhri Hasanov & Jeyhun Mikayilov & Cihan Bulut & Elchin Suleymanov & Fuzuli Aliyev, 2017. "The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters," Economies, MDPI, vol. 5(2), pages 1-18, April.
    2. repec:eco:journ2:2017-04-02 is not listed on IDEAS
    3. Bing‐Yue Liu & Qiang Ji & Duc Khuong Nguyen & Ying Fan, 2021. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2612-2636, April.
    4. Astrid Ayala & Szabolcs Blazsek & Adrian Licht, 2022. "Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020," Empirical Economics, Springer, vol. 62(5), pages 2179-2203, May.
    5. Polbin, Andrey, 2014. "Econometric estimation of a structural macroeconomic model for the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 3-29.
    6. Konstantin Styrin & Oleg Zamulin, 2012. "A Real Exchange Rate Based Phillips Curve," Working Papers w0179, New Economic School (NES).
    7. Arafet Hamida & Salah ben Nasr, 2024. "Volatility Transmission between Oil Price and Exchange Rate," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 380-392, September.
    8. Ekaterina Pyltsyna, 2018. "The Change Of Fiscal Multiplier When Switching From Managed Exchange Rate Regime To Thefloating One," HSE Working papers WP BRP 206/EC/2018, National Research University Higher School of Economics.
    9. Shumilov, Andrei, 2019. "Модели Зависимости Реального Курса Рубля От Цены И Стоимости Экспорта Нефти: Сравнительный Анализ [Oil prices versus oil export revenues as fundamental factors of the real Russian ruble exchange ra," MPRA Paper 96400, University Library of Munich, Germany.
    10. Aivazian, Sergei & Bereznyatskiy, Alexander & Brodsky, Boris, 2014. "Dutch disease in Russian and Armenian economies," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 32-60.

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    More about this item

    Keywords

    Real exchange rate; Commodity prices;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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