Oil Prices, Exchange Rate Regime and the Russian Economy

Öz

An increase in oil prices in oil exporting countries leads to a significant increase in export revenues. The increase in the export revenues due to natural resources export revenue increases the amount of foreign currency entering the country and can stimulate to have an undesired appreciation in the value of the domestic currency. This valuation may negatively affect the economic performance of the country. The aim of this study is to determine the effects of changes in oil prices on economic performances in Russia under the assumption of controlling the exchange rate channel, which is known to have a direct effect on Russia’s economic performance. For this purpose, the modified Vector Autoregression model proposed by Bernanke, Gertler and Watson (1997) is used with quarterly data between 1994 and 2018. As a result of the analysis, when the ruble is prevented from appreciation, it is seen that the unexpected increase in oil prices decreased the interest rate more than when the floating exchange rate was adopted. On the other hand, prices are higher at the beginning than when the floating exchange rate is adopted but result in lower prices in the following periods.  

Anahtar Kelimeler

• Oil Price Change
• Exchange Rate Channel
• Vector Autoregressive model
• Monetary Policy
• Economic Performance

Petrol Fiyatları, Döviz Kuru Rejimi ve Rusya Ekonomisi

Öz

Petrol ihracatçısı ülkelerde; petrol fiyatlarındaki beklenmedik artış, ihracat gelirlerinde önemli bir yükselişe neden olmaktadır. İhracat gelirlerindeki doğal kaynağa bağlı bu yükseliş ülkeye giren dövizi artırmakta ve yerel para birimin değerinde istenmeyen bir artışa neden olabilmektedir. Bu değerlenme ülkenin ekonomik performansını olumsuz etkileyebilmektedir. Bu çalışmanın amacı petrol fiyatlarındaki değişimin, Rusya’nın para ve maliye politikaları üzerine direk etkisi olduğu bilinen döviz kuru kanalının kontrol edilmesi varsayımı altında petrol fiyatlarındaki değişimin ekonomik performans üzerindeki etkilerini belirlemektir. Bu amaç doğrultusunda 1994-2018 yılları arası üçer aylık veriler ile Bernanke, Gertler ve Watson’un (1997) önerdiği modifiye Vektör Otoregresif model kullanılmaktadır. Yapılan analizler sonucunda, rublenin aşırı değer kazanması engellendiğinde; petrol fiyatlarındaki beklenmedik artışın faiz oranını dalgalı kurun benimsendiği durumdan daha fazla düşürdüğü görülmektedir. Fiyatlar ise, dalgalı kurun benimsendiği durumdan başlangıçta daha yüksek olsa da ilerleyen dönemlerde daha düşük fiyatlarla sonuçlanmaktadır. 

Anahtar Kelimeler

• Petrol Fiyat Değişimi
• Döviz Kuru Kanalı
• Vektör Otoregresif Model
• Para Politikası
• Ekonomik Performans

Kaynakça

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